-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, LnyeS5V8tdvsdF8QXhkc6KnK9MScQDkBQWP3YyqXw3w5UrbY3CEaQdqHQ4lQi+rq MyuMAyo9uyKyVCVN4xryeg== 0000912057-02-016753.txt : 20020426 0000912057-02-016753.hdr.sgml : 20020426 ACCESSION NUMBER: 0000912057-02-016753 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20020202 FILED AS OF DATE: 20020426 FILER: COMPANY DATA: COMPANY CONFORMED NAME: MUTUAL FUND TRUST CENTRAL INDEX KEY: 0000919034 STATE OF INCORPORATION: MA FISCAL YEAR END: 0831 FILING VALUES: FORM TYPE: N-30D SEC ACT: 1940 Act SEC FILE NUMBER: 811-08358 FILM NUMBER: 02622020 BUSINESS ADDRESS: STREET 1: 1 CHASE MANHATTAN PLAZA STREET 2: 3RD FLOOR CITY: NEW YORK STATE: NY ZIP: 10081 MAIL ADDRESS: STREET 1: ONE CHASE SQUARE 7TH FLOOR CITY: ROCHESTER STATE: NY ZIP: 14643 N-30D 1 a2077523zn-30d.txt N-30D SEMI-ANNUAL REPORT FEBRUARY 28, 2002 (UNAUDITED) JPMORGAN FUNDS [GRAPHIC] MONEY MARKET FUNDS 100% U.S. Treasury Securities Money Market Fund U.S. Government Money Market Fund Treasury Plus Money Market Fund Federal Money Market Fund Prime Money Market Fund Tax Free Money Market Fund New York Tax Free Money Market Fund California Tax Free Money Market Fund [LOGO]JPMORGAN FLEMING ASSET MANAGEMENT CONTENTS President's Letter 1 JPMorgan 100% U.S. Treasury Securities Money Market Fund Fund Facts 3 JPMorgan U.S. Government Money Market Fund Fund Facts 4 JPMorgan Treasury Plus Money Market Fund Fund Facts 5 JPMorgan Federal Money Market Fund Fund Facts 6 JPMorgan Prime Money Market Fund Fund Facts 7 JPMorgan Tax Free Money Market Fund Fund Facts 8 JPMorgan New York Tax Free Money Market Fund Fund Facts 9 JPMorgan California Tax Free Money Market Fund Fund Facts 10 Portfolio of Investments 11 Financial Statements 87 Notes to Financial Statements 95 Financial Highlights 119 HIGHLIGHTS - - In the aftermath of September 11th, fixed-income markets were buffeted by volatility in both interest rates and bond prices. - - By the end of 2001, the Federal Funds Rate stood at 1.75%. - - During the first two months of 2002, the general consensus seemed to be that an economic recovery would come sometime this year. NOT FDIC INSURED May lose value / No bank guarantee --------------------------------------------------------------------- JPMorgan Funds are distributed by J.P. Morgan Fund Distributors, Inc. JPMorgan MONEY MARKET FUNDS PRESIDENT'S LETTER APRIL 8, 2002 DEAR SHAREHOLDER: We are pleased to present this semi-annual report for the JPMorgan Money Market Funds for the period ended February 28, 2002. U.S. ECONOMY IN RECESSION When the reporting period began in September, the U.S. economy showed signs of strengthening. A rebound was predicted by early 2002. These hopes were dashed when September economic data showed a major decline in employment, industrial production and consumer confidence. Then came the terrorist attacks of September 11th. In the aftermath of September 11th, the equity markets declined precipitously, although they regained most of their losses by year-end. The fixed-income markets were buffeted by volatility in both interest rates and bond prices. For the first time in 10 years, the U.S. economy was in recession. Corporations continued to report lower earnings and the number of people filing for unemployment rose. The Federal Reserve Board maintained an accommodative posture in an effort to support the economy and by the end of 2001, the Federal Funds Rate stood at 1.75%. Then, in December, economic data suggested that business conditions were beginning to improve. AN ECONOMIC RECOVERY IN 2002 During the first two months of 2002, the leading economic indicators continued to surprise investors. The general consensus seemed to be that an economic recovery would come sometime in 2002. In fact, the good economic news led many to speculate that the Fed was finished easing and that they might even begin to raise interest rates later in the year. In response, yields on short-term securities fluctuated dramatically and moved higher. Before the Fed started lowering interest rates in January 2001, money-market investors enjoyed yields of between five and six percent. But after 11 rate cuts, few money markets offered yields higher than 1.75%. This is new territory for investors. The last time interest rates were this low was during the 1960s, well before money markets were first created. As a result, investors have never seen such low yields from their money markets. Should interest rates rise in 2002, they may have some relief. 1 Whatever happens, the coming months will be challenging. As always, your portfolio managers will be working hard to maintain good performance. Going forward, they will continue to obtain the highest yields possible in this environment while, maintaining their focus on preservation of principal. The portfolio management team, and all of us here, thank you for your continued investment, and anticipate serving your investment needs for many years to come. Sincerely, /s/ George C.W. Gatch George C.W. Gatch President JPMorgan Funds 2 JPMorgan 100% U.S. TREASURY SECURITIES MONEY MARKET FUND AS OF FEBRUARY 28, 2002
FUND FACTS - -------------------------------------------------------------------------------- Objective HIGH CURRENT INCOME CONSISTENT WITH CAPITAL PRESERVATION Primary investments DIRECT OBLIGATIONS OF THE U.S. TREASURY INCLUDING TREASURY BILLS, BONDS AND NOTES Suggested investment time frame SHORT-TERM Share classes offered MORGAN, PREMIER, AGENCY AND INSTITUTIONAL SHARES Net assets $5.9 BILLION Average maturity 53 DAYS S&P rating NOT RATED Moody's rating NOT RATED NAIC rating NOT RATED MATURITY SCHEDULE 7-DAY SEC YIELD(1) - ----------------------------------- ----------------------------------------- 1 day 0.0% Morgan Shares 1.21% 2-7 days 6.0% Premier Shares 1.34% 8-30 days 28.0% Agency Shares 1.55% 31-60 days 25.3% Institutional Shares 1.60% 61-90 days 26.2% 91-180 days 14.5% 181+ days 0.0%
Past performance is not a guarantee of future results. Yields will fluctuate. An investment in a money market fund is not insured by the FDIC or any other government agency. Although money market funds strive to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in a money market fund. (1) The yields for Morgan Shares, Premier Shares, Agency Shares and Institutional Shares reflect the reimbursements or waivers of certain expenses. Without these subsidies, the yields would have been 1.11%, 1.32%, 1.48% and 1.47% for Morgan Shares, Premier Shares, Agency Shares and Institutional Shares, respectively. (UNAUDITED) 3 JPMorgan U.S. GOVERNMENT MONEY MARKET FUND AS OF FEBRUARY 28, 2002
FUND FACTS - -------------------------------------------------------------------------------- Objective HIGH CURRENT INCOME CONSISTENT WITH CAPITAL PRESERVATION Primary investments DIRECT OBLIGATIONS OF THE U.S. TREASURY AND ITS AGENCIES INCLUDING TREASURY BILLS, BONDS, NOTES, AND REPURCHASE AGREEMENTS Suggested investment time frame SHORT-TERM Share classes offered MORGAN, PREMIER, AGENCY AND INSTITUTIONAL SHARES Net assets $8.5 BILLION Average maturity 46 DAYS S&P rating* AAA Moody's rating* AAA NAIC rating* CLASS 1
* This rating is historical and is based upon the Fund's credit quality, market price exposure and management. It signifies that the Fund's safety is excellent and that it has superior capacity to maintain a $1 Net Asset Value per share. The National Association of Insurance Commissioners' (NAIC's) Class 1 status indicates that the Fund meets certain pricing and quality guidelines.
MATURITY SCHEDULE 7-DAY SEC YIELD(1) - ----------------------------------- ----------------------------------------- 1 day 19.0% Morgan Shares 1.31% 2-7 days 6.0% Premier Shares 1.45% 8-30 days 27.2% Agency Shares 1.64% 31-60 days 24.9% Institutional Shares 1.71% 61-90 days 9.7% 91-180 days 11.3% 181+ days 1.9%
Past performance is not a guarantee of future results. Yields will fluctuate. An investment in a money market fund is not insured by the FDIC or any other government agency. Although money market funds strive to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in a money market fund. (1) The yields for Morgan Shares, Premier Shares, Agency Shares and Institutional Shares reflect the reimbursements or waivers of certain expenses. Without these subsidies, the yields would have been 1.22%, 1.33%, 1.58% and 1.59% for Morgan Shares, Premier Shares, Agency Shares and Institutional Shares, respectively. (UNAUDITED) 4 JPMorgan TREASURY PLUS MONEY MARKET FUND AS OF FEBRUARY 28, 2002
FUND FACTS - -------------------------------------------------------------------------------- Objective HIGH CURRENT INCOME CONSISTENT WITH CAPITAL PRESERVATION Primary investments DIRECT OBLIGATIONS OF THE U.S. TREASURY INCLUDING TREASURY BILLS, BONDS AND NOTES AS WELL AS REPURCHASE AGREEMENTS WHICH ARE FULLY COLLATERALIZED BY OBLIGATIONS ISSUED OR GUARANTEED BY THE U.S. TREASURY Suggested investment time frame SHORT-TERM Share classes offered MORGAN, PREMIER, AGENCY, RESERVE AND INSTITUTIONAL SHARES Net assets $4.6 BILLION Average maturity 34 DAYS S&P rating* AAA Moody's rating* AAA NAIC rating* EXEMPT
* This rating is historical and is based upon the Fund's credit quality, market price exposure and management. It signifies that the Fund's safety is excellent and that it has superior capacity to maintain a $1 Net Asset Value per share. The National Association of Insurance Commissioners' (NAIC's) exempt status indicates that the Fund meets certain pricing and quality guidelines.
MATURITY SCHEDULE 7-DAY SEC YIELD(1) - ----------------------------------- ----------------------------------------- 1 day 42.2% Morgan Shares 1.44% 2-7 days 4.4% Premier Shares 1.58% 8-30 days 13.7% Agency Shares 1.78% 31-60 days 16.5% Reserve Shares 1.33% 61-90 days 13.4% Institutional Shares 1.83% 91-180 days 9.8% 181+ days 0.0%
Past performance is not a guarantee of future results. Yields will fluctuate. An investment in a money market fund is not insured by the FDIC or any other government agency. Although money market funds strive to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in a money market fund. (1) The yields for Morgan Shares, Premier Shares, Agency Shares, Reserve Shares and Institutional Shares reflect the reimbursements or waivers of certain expenses. Without these subsidies, the yields would have been 1.33%, 1.54%, 1.70%, 1.28% and 1.69% for Morgan Shares, Premier Shares, Agency Shares, Reserve Shares and Institutional Shares, respectively. (UNAUDITED) 5 JPMorgan FEDERAL MONEY MARKET FUND AS OF FEBRUARY 28, 2002
FUND FACTS - -------------------------------------------------------------------------------- Objective HIGH CURRENT INCOME CONSISTENT WITH CAPITAL PRESERVATION Primary investments DIRECT OBLIGATIONS OF THE U.S. TREASURY INCLUDING TREASURY BILLS, BONDS AND NOTES AS WELL AS OBLIGATIONS ISSUED OR GUARANTEED BY THE U.S. TREASURY AND ITS AGENCIES Suggested investment time frame SHORT-TERM Share classes offered MORGAN, PREMIER, AGENCY AND INSTITUTIONAL SHARES Net assets $6.4 BILLION Average maturity 35 DAYS S&P rating NOT RATED Moody's rating NOT RATED NAIC rating NOT RATED MATURITY SCHEDULE 7-DAY SEC YIELD(1) - ----------------------------------- ----------------------------------------- 1 day 20.9% Morgan Shares 1.16% 2-7 days 5.8% Premier Shares 1.41% 8-30 days 38.7% Agency Shares 1.60% 31-60 days 15.9% Institutional Shares 1.66% 61-90 days 11.1% 91-180 days 6.1% 181+ days 1.5%
Past performance is not a guarantee of future results. Yields will fluctuate. An investment in a money market fund is not insured by the FDIC or any other government agency. Although money market funds strive to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in a money market fund. (1) The yields for Morgan Shares, Premier Shares, Agency Shares and Institutional Shares reflect the reimbursements or waivers of certain expenses. Without these subsidies, the yields would have been 1.13%, 1.39%, 1.54% and 1.54% for Morgan Shares, Premier Shares, Agency Shares and Institutional Shares, respectively. (UNAUDITED) 6 JPMorgan PRIME MONEY MARKET FUND AS OF FEBRUARY 28, 2002
FUND FACTS - -------------------------------------------------------------------------------- Objective HIGH CURRENT INCOME CONSISTENT WITH CAPITAL PRESERVATION Primary investments HIGH QUALITY, SHORT-TERM, U.S. DOLLAR-DENOMINATED MONEY MARKET INSTRUMENTS Suggested investment time frame SHORT-TERM Share classes offered MORGAN, PREMIER, AGENCY, SELECT, CASH MANAGEMENT, INSTITUTIONAL, RESERVE, B AND C SHARES Net assets $63.3 BILLION Average maturity 47 DAYS S&P rating* AAA Moody's rating* AAA NAIC rating* CLASS 1
* This rating is historical and is based upon the Fund's credit quality, market price exposure and management. It signifies that the Fund's safety is excellent and that it has superior capacity to maintain a $1 Net Asset Value per share. The National Association of Insurance Commissioners' (NAIC's) Class 1 status indicates that the Fund meets certain pricing and quality guidelines.
MATURITY SCHEDULE 7-DAY SEC YIELD(1) - ----------------------------------- ----------------------------------------- 1 day 21.5% Morgan Shares 1.38% 2-7 days 9.6% Premier Shares 1.52% 8-30 days 25.5% Agency Shares 1.71% 31-60 days 15.1% Select Shares 1.53% 61-90 days 11.0% Cash Management Shares 1.00% 91-180 days 14.7% Institutional Shares 1.77% 181+ days 2.6% Reserve Shares 1.27% B Shares 0.73% C Shares 0.73%
Past performance is not a guarantee of future results. Yields will fluctuate. An investment in a money market fund is not insured by the FDIC or any other government agency. Although money market funds strive to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in a money market fund. (1) The yields for Morgan Shares, Premier Shares, Agency Shares, Select Shares, Cash Management Shares, Institutional Shares, Reserve Shares, B Shares and C Shares reflect the reimbursements or waivers of certain expenses. Without these subsidies, the yields would have been 1.36%, 1.50%, 1.65%, 1.49%, 0.98%, 1.66%, 1.24%, 0.71% and 0.71% for Morgan Shares, Premier Shares, Agency Shares, Select Shares, Cash Management Shares, Institutional Shares, Reserve Shares, B Shares and C Shares, respectively. (UNAUDITED) 7 JPMorgan TAX FREE MONEY MARKET FUND AS OF FEBRUARY 28, 2002
FUND FACTS - -------------------------------------------------------------------------------- Objective HIGH CURRENT TAX FREE INCOME CONSISTENT WITH CAPITAL PRESERVATION* Primary investments SHORT-TERM MUNICIPAL OBLIGATIONS Suggested investment time frame SHORT-TERM Share classes offered MORGAN, PREMIER, AGENCY, AND INSTITUTIONAL SHARES Net assets $7.3 BILLION Average maturity 35 DAYS S&P rating** AAA Moody's rating NOT RATED NAIC rating NOT RATED
** This rating is historical and is based upon the Fund's credit quality, market price exposure and management. It signifies that the Fund's safety is excellent and that it has superior capacity to maintain a $1 Net Asset Value per share. MATURITY SCHEDULE - ----------------------------------- 1 day 11.6% 2-7 days 63.2% 8-30 days 2.0% 31-60 days 2.3% 61-90 days 1.8% 91-180 days 11.4% 181+ days 7.7%
YIELDS - --------------------------------------------------- TAXABLE 7-DAY EQUIVALENT SEC YIELD(1) YIELD(2) - --------------------------------------------------- Morgan Shares 0.94% 1.53% Premier Shares 1.08% 1.76% Agency Shares 1.27% 2.07% Institutional Shares 1.33% 2.17%
Past performance is not a guarantee of future results. Yields will fluctuate. An investment in a money market fund is not insured by the FDIC or any other government agency. Although money market funds strive to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in a money market fund. (1) The yields for Morgan Shares, Premier Shares, Agency Shares and Institutional Shares reflect the reimbursements or waivers of certain expenses. Without these subsidies, the yields would have been 0.84%, 1.05%, 1.20 and 1.20% for Morgan Shares, Premier Shares, Agency Shares and Institutional Shares, respectively. (2) Taxable equivalent yields are calculated based on the SEC yield divided by 1 minus the effective tax rate. The effective federal tax rate used for this illustration is 38.60%. * A portion of the Fund's income may be subject to the Alternative Minimum Tax (AMT), and some investors may be subject to certain state and local taxes. (UNAUDITED) 8 JPMorgan NEW YORK TAX FREE MONEY MARKET FUND AS OF FEBRUARY 28, 2002
FUND FACTS - -------------------------------------------------------------------------------- Objective HIGH CURRENT TAX FREE INCOME CONSISTENT WITH CAPITAL PRESERVATION* Primary investments NEW YORK SHORT-TERM MUNICIPAL OBLIGATIONS Suggested investment time frame SHORT-TERM Share classes offered MORGAN AND RESERVE SHARES Net assets $2.4 BILLION Average maturity 50 DAYS S&P rating NOT RATED Moody's rating NOT RATED NAIC rating NOT RATED MATURITY SCHEDULE - ----------------------------------- 1 day 11.8% 2-7 days 50.2% 8-30 days 0.2% 31-60 days 6.2% 61-90 days 3.9% 91-180 days 17.3% 181+ days 10.4% YIELDS - --------------------------------------------------- TAXABLE 7-DAY EQUIVALENT SEC YIELD(1) YIELD(2) - --------------------------------------------------- Morgan Shares 0.96% 1.64% Reserve Shares 0.76% 1.30%
Past performance is not a guarantee of future results. Yields will fluctuate. An investment in a money market fund is not insured by the FDIC or any other government agency. Although money market funds strive to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in a money market fund. (1) The yields for Morgan Shares and Reserve Shares reflect the reimbursements or waivers of certain expenses. Without these subsidies, the yields would have been 0.86% for Morgan Shares and 0.07% for Reserve Shares. (2) Taxable Equivalent Yields are calculated based on the SEC yield divided by 1 minus the effective tax rate. The effective combined federal, state and local tax rate used for this illustration is 45.21%. * A portion of the Fund's income may be subject to the Alternative Minimum Tax (AMT), and some investors may be subject to certain state and local taxes. (UNAUDITED) 9 JPMorgan CALIFORNIA TAX FREE MONEY MARKET FUND AS OF FEBRUARY 28, 2002
FUND FACTS - -------------------------------------------------------------------------------- Objective HIGH CURRENT TAX FREE INCOME CONSISTENT WITH CAPITAL PRESERVATION* Primary investments CALIFORNIA SHORT-TERM MUNICIPAL OBLIGATIONS Suggested investment time frame SHORT-TERM Share classes offered MORGAN SHARES Net assets $156.9 MILLION Average maturity 48 DAYS S&P rating NOT RATED Moody's rating NOT RATED NAIC rating NOT RATED MATURITY SCHEDULE - ----------------------------------- 1 day 12.8% 2-7 days 62.1% 8-30 days 0.0% 31-60 days 0.0% 61-90 days 0.0% 91-180 days 14.8% 181+ days 10.3% YIELDS - --------------------------------------------------- TAXABLE 7-DAY EQUIVALENT SEC YIELD(1) YIELD(2) - --------------------------------------------------- Morgan Shares 0.88% 1.57%
Past performance is not a guarantee of future results. Yields will fluctuate. An investment in a money market fund is not insured by the FDIC or any other government agency. Although money market funds strive to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in a money market fund. (1) The yield for Morgan Shares reflects the reimbursements or waivers of certain expenses. Without these subsidies, the yield would have been 0.67%. (2) Taxable Equivalent Yields are calculated based on the SEC yield divided by 1 minus the effective tax rate. The effective combined federal, state and local tax rate used for this illustration is 44.07%. * A portion of the Fund's income may be subject to the Alternative Minimum Tax (AMT), and some investors may be subject to certain state and local taxes. (UNAUDITED) 10 JPMorgan 100% U.S. TREASURY SECURITIES MONEY MARKET FUND PORTFOLIO OF INVESTMENTS As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Money Market Instruments -- 100.0% - --------------------------------------------------------------------------------------------------- U.S. TREASURY SECURITIES -- 100.0% U.S. Treasury Bills, $476,878 DN, 1.65%, 05/09/02 $ 475,370 475,000 DN, 1.68%, 05/16/02 473,315 276,177 DN, 1.69%, 06/13/02 274,826 123,690 DN, 1.70%, 05/30/02 123,163 429,184 DN, 1.71%, 05/02/02 427,918 123,870 DN, 1.71%, 05/23/02 123,383 128,907 DN, 1.71%, 06/06/02 128,315 50,000 DN, 1.72%, 06/27/02 49,717 404,687 DN, 1.73%, 04/04/02 404,027 384,865 DN, 1.73%, 04/11/02 384,106 50,000 DN, 1.73%, 06/20/02 49,733 353,985 DN, 1.74%, 03/07/02 353,883 126,807 DN, 1.74%, 07/11/02 125,997 518,711 DN, 1.76%, 03/14/02 518,381 90,000 DN, 1.76%, 07/25/02 89,358 335,690 DN, 1.77%, 04/25/02 334,781 376,656 DN, 1.79%, 04/18/02 375,756 16,845 DN, 1.82%, 08/22/02 16,697 734,834 DN, 1.84%, 03/21/02 734,080 411,781 DN, 1.88%, 03/28/02 411,199 50,000 U.S. Treasury Note, 6.38%, 04/30/02 50,188 - --------------------------------------------------------------------------------------------------- Total Investments -- 100.0% $5,924,193 (Cost $5,924,193) * - ---------------------------------------------------------------------------------------------------
See notes to financial statements. 11 JPMorgan U.S. GOVERNMENT MONEY MARKET FUND PORTFOLIO OF INVESTMENTS As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Money Market Instruments -- 100.0% - --------------------------------------------------------------------------------------------------- U.S. TREASURY SECURITIES -- 10.4% U.S. Treasury Bills, $ 10,000 DN, 1.70%, 05/16/02 $ 9,964 85,000 DN, 1.71%, 05/23/02 84,664 363,000 DN, 1.86%, 03/21/02 362,624 50,000 DN, 1.87%, 08/01/02 49,604 50,000 DN, 1.98%, 03/07/02 49,984 70,000 DN, 2.02%, 03/28/02 69,894 210,000 DN, 2.25%, 03/14/02 209,830 50,000 U.S. Treasury Note, 6.63%, 04/30/02 50,414 --------------------------------------------------------------------------------- Total U.S. Treasury Securities 886,978 (Cost $886,978) --------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY SECURITIES -- 80.5% Federal Farm Credit Bank, 10,000 DN, 1.69%, 04/02/02 9,985 40,000 DN, 1.70%, 03/18/02 39,968 20,000 DN, 1.71%, 04/23/02 19,950 20,000 DN, 1.85%, 05/08/02 19,930 39,000 DN, 1.85%, 05/09/02 38,862 24,000 DN, 1.88%, 08/26/02 23,777 8,000 DN, 2.17%, 11/06/02 7,879 350,000 FRN, 1.69%, 03/19/02 350,001 12,500 FRN, 1.73%, 12/17/02 12,500 70,000 FRN, 1.75%, 02/03/03 70,000 Federal Home Loan Bank, 25,000 2.45%, 12/17/02 24,998 5,000 4.75%, 03/14/02 5,004 50,000 6.88%, 07/18/02 50,930 100,000 DN, 1.57%, 04/12/02 99,817 110,740 DN, 1.57%, 04/17/02 110,513 72,126 DN, 1.63%, 07/12/02 71,692 82,714 DN, 1.67%, 04/10/02 82,561 164,150 DN, 1.68%, 03/13/02 164,058 169,245 DN, 1.73%, 03/20/02 169,090 23,592 DN, 1.73%, 05/10/02 23,513 50,000 DN, 1.74%, 05/01/02 49,853 188,000 DN, 1.75%, 03/27/02 187,762 25,000 DN, 1.75%, 04/03/02 24,960 17,455 DN, 1.76%, 07/01/02 17,351 130,985 DN, 1.77%, 03/01/02 130,985 205,000 DN, 1.78%, 04/26/02 204,433 163,911 DN, 1.79%, 03/06/02 163,870 137,500 DN, 1.79%, 04/19/02 137,165 47,000 DN, 1.81%, 07/26/02 46,653 75,000 DN, 1.94%, 04/05/02 74,858 100,000 FRN, 1.70%, 03/15/02 99,999
See notes to financial statements. 12 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Money Market Instruments -- Continued - --------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., $ 27,561 DN, 1.68%, 04/11/02 $ 27,508 10,000 DN, 1.69%, 04/18/02 9,977 48,821 DN, 1.71%, 03/20/02 48,777 100,000 DN, 1.72%, 04/04/02 99,838 50,000 DN, 1.72%, 04/11/02 49,902 101,812 DN, 1.73%, 03/19/02 101,724 50,000 DN, 1.73%, 04/24/02 49,870 40,000 DN, 1.74%, 03/13/02 39,977 67,000 DN, 1.74%, 03/21/02 66,935 16,000 DN, 1.74%, 05/02/02 15,952 91,966 DN, 1.75%, 03/26/02 91,855 80,962 DN, 1.77%, 04/05/02 80,822 100,726 DN, 1.80%, 03/07/02 100,696 27,975 DN, 1.80%, 03/18/02 27,951 98,437 DN, 1.80%, 07/18/02 97,755 80,000 DN, 1.80%, 08/15/02 79,334 23,000 DN, 1.80%, 08/28/02 22,793 106,275 DN, 1.81%, 04/25/02 105,980 45,850 DN, 1.82%, 03/27/02 45,790 71,767 DN, 1.83%, 07/31/02 71,212 25,000 DN, 1.87%, 08/09/02 24,791 175,000 DN, 1.89%, 05/23/02 174,237 81,600 DN, 2.15%, 03/22/02 81,497 15,000 DN, 2.15%, 04/10/02 14,964 79,125 DN, 2.16%, 03/15/02 79,058 75,000 DN, 2.23%, 03/08/02 74,967 75,242 DN, 2.23%, 11/07/02 74,073 Federal National Mortgage Association, 10,000 5.38%, 03/15/02 10,014 51,254 6.75%, 08/15/02 52,394 25,000 DN, 1.57%, 04/11/02 24,955 50,000 DN, 1.57%, 04/17/02 49,898 148,982 DN, 1.64%, 04/03/02 148,758 210,812 DN, 1.64%, 04/10/02 210,430 300,000 DN, 1.69%, 04/24/02 299,230 70,000 DN, 1.69%, 04/25/02 69,819 74,400 DN, 1.72%, 04/22/02 74,215 17,000 DN, 1.73%, 03/14/02 16,989 58,812 DN, 1.73%, 03/21/02 58,755 30,000 DN, 1.74%, 04/05/02 29,949 50,000 DN, 1.74%, 05/01/02 49,853 225,000 DN, 1.74%, 05/08/02 224,260 31,003 DN, 1.74%, 05/23/02 30,879 10,000 DN, 1.75%, 04/04/02 9,983 54,000 DN, 1.75%, 05/15/02 53,803 75,000 DN, 1.76%, 07/10/02 74,520 105,000 DN, 1.81%, 03/27/02 104,863 173,800 DN, 1.84%, 07/24/02 172,511 30,000 DN, 1.85%, 07/31/02 29,766 6,429 DN, 2.23%, 11/01/02 6,331
See notes to financial statements. 13 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Money Market Instruments -- Continued - --------------------------------------------------------------------------------------------------- $ 50,000 FRN, 1.73%, 11/29/02 $ 49,990 171,000 FRN, 2.17%, 06/21/02 171,000 25,000 MTN, FRN, 1.74%, 12/05/02 24,994 Student Loan Marketing Association, 100,000 DN, 2.07%, 07/08/02 99,258 30,000 DN, 2.45%, 11/15/02 29,471 125,000 FRN, 1.75%, 01/24/03 125,000 100,000 MTN, FRN, 1.67%, 09/27/02 99,979 100,000 MTN, FRN, 1.70%, 09/27/02 99,974 50,000 MTN, FRN, 1.74%, 01/24/03 50,000 --------------------------------------------------------------------------------- Total U.S. Government Agency Securities 6,842,993 (Cost $6,842,993) --------------------------------------------------------------------------------- REPURCHASE AGREEMENTS -- 9.1% 152,914 Deutsche Bank AG, 1.90%, dated 02/28/02, due 03/01/02, repurchase price $152,922, collateralized by U.S. Government Security 152,914 310,000 Goldman Sachs & Co., 1.89%, dated 02/28/02, due 03/01/02, repurchase price $310,016, collateralized by U.S. Government Securities 310,000 310,000 Salomon Smith Barney, Inc., 1.90%, dated 02/28/02, due 03/01/02, repurchase price $310,016, collateralized by U.S. Treasury Bonds 310,000 --------------------------------------------------------------------------------- Total Repurchase Agreements 772,914 (Cost $772,914) - --------------------------------------------------------------------------------------------------- Total Investments -- 100.0% $8,502,885 (Cost $8,502,885) * - ---------------------------------------------------------------------------------------------------
See notes to financial statements. 14 JPMorgan TREASURY PLUS MONEY MARKET FUND PORTFOLIO OF INVESTMENTS As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Money Market Instruments -- 100.0% - --------------------------------------------------------------------------------------------------- U.S. TREASURY SECURITIES -- 57.8% U.S. Treasury Bills, $150,000 DN, 1.60%, 04/11/02 $ 149,726 150,000 DN, 1.63%, 05/02/02 149,579 200,000 DN, 1.67%, 04/18/02 199,555 200,000 DN, 1.68%, 03/07/02 199,944 100,000 DN, 1.68%, 05/16/02 99,644 50,000 DN, 1.74%, 04/25/02 49,867 50,000 DN, 1.75%, 06/06/02 49,764 100,000 DN, 1.76%, 05/09/02 99,663 50,000 DN, 1.78%, 07/05/02 49,689 150,000 DN, 1.79%, 07/25/02 148,910 200,000 DN, 1.79%, 08/08/02 198,407 175,000 DN, 1.83%, 04/25/02 174,511 153,219 DN, 1.84%, 03/28/02 153,007 180,000 DN, 1.87%, 04/04/02 179,682 270,000 DN, 2.17%, 03/14/02 269,790 200,000 DN, 2.25%, 03/21/02 199,751 U.S. Treasury Notes, 200,000 6.38%, 04/30/02 200,752 60,000 6.63%, 04/30/02 60,366 --------------------------------------------------------------------------------- Total U.S. Treasury Securities 2,632,607 (Cost $2,632,607) --------------------------------------------------------------------------------- REPURCHASE AGREEMENTS -- 42.2% 554,445 ABN-AMRO Bank N.V., 1.87%, dated 02/28/02, due 03/01/02, repurchase price $554,474, collateralized by U.S. Treasury Securities 554,445 6,056 Deutsche Bank AG, 1.87%, dated 02/28/02, due 03/01/02, repurchase price $6,056, collateralized by U.S. Treasury Securities 6,056 340,000 Deutsche Bank AG, 1.87%, dated 02/28/02, due 03/01/02, repurchase price $340,018, collateralized by U.S. Treasury Securities 340,000 340,000 Goldman Sachs & Co., 1.87%, dated 02/28/02, due 03/01/02, repurchase price $340,018, collateralized by U.S. Treasury Bill 340,000 340,000 Salomon Smith Barney, Inc., 1.87%, dated 02/28/02, due 03/01/02, repurchase price $340,018, collateralized by U.S. Treasury Securities 340,000 340,000 UBS AG, 1.88%, dated 02/28/02, due 03/01/02, repurchase price $340,018, collateralized by U.S. Treasury Securities 340,000 --------------------------------------------------------------------------------- Total Repurchase Agreements 1,920,501 (Cost $1,920,501) - --------------------------------------------------------------------------------------------------- Total Investments -- 100.0% $4,553,108 (Cost $4,553,108) * - ---------------------------------------------------------------------------------------------------
See notes to financial statements. 15 JPMorgan FEDERAL MONEY MARKET FUND PORTFOLIO OF INVESTMENTS As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Money Market Instruments -- 100.0% - --------------------------------------------------------------------------------------------------- U.S. TREASURY SECURITIES -- 23.9% U.S. Treasury Bills, $110,000 DN, 1.71%, 05/16/02 $ 109,603 117,000 DN, 1.71%, 05/23/02 116,538 160,000 DN, 1.77%, 03/07/02 159,953 57,055 DN, 1.86%, 03/28/02 56,975 145,000 DN, 1.86%, 04/11/02 144,693 414,106 DN, 1.88%, 03/14/02 413,825 100,000 DN, 1.90%, 04/18/02 99,747 50,000 DN, 2.03%, 04/04/02 49,904 363,564 DN, 2.15%, 03/21/02 363,131 25,000 U.S. Treasury Note, 6.63%, 04/30/02 25,207 --------------------------------------------------------------------------------- Total U.S. Treasury Securities 1,539,576 (Cost $1,539,576) --------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY SECURITIES -- 76.1% Federal Farm Credit Bank, 29,100 1.72%, 05/01/02 29,098 9,750 1.83%, 08/01/02 9,748 15,000 2.41%, 04/01/02 15,008 55,000 5.25%, 05/01/02 55,329 7,000 6.50%, 04/02/02 7,029 14,527 DN, 1.65%, 04/02/02 14,506 47,175 DN, 1.67%, 03/13/02 47,149 15,000 DN, 1.67%, 04/25/02 14,962 87,045 DN, 1.71%, 03/11/02 87,004 10,000 DN, 1.72%, 05/10/02 9,967 5,000 DN, 1.73%, 03/05/02 4,999 7,509 DN, 1.73%, 03/06/02 7,507 8,000 DN, 1.73%, 03/07/02 7,998 21,000 DN, 1.73%, 03/08/02 20,993 34,000 DN, 1.73%, 03/15/02 33,977 28,000 DN, 1.73%, 03/19/02 27,976 23,000 DN, 1.73%, 03/26/02 22,972 24,000 DN, 1.73%, 04/16/02 23,947 31,000 DN, 1.74%, 03/22/02 30,969 24,000 DN, 1.74%, 05/01/02 23,929 16,800 DN, 1.75%, 03/20/02 16,784 9,960 DN, 1.78%, 08/23/02 9,874 43,000 DN, 1.79%, 04/04/02 42,927 43,950 DN, 1.79%, 04/11/02 43,860 27,559 DN, 1.80%, 03/01/02 27,559 56,910 DN, 1.80%, 03/28/02 56,833 75,293 DN, 1.80%, 05/07/02 75,040 19,000 DN, 1.82%, 08/06/02 18,848 17,600 DN, 1.82%, 08/15/02 17,451 8,000 DN, 1.85%, 04/05/02 7,986 20,000 DN, 1.85%, 05/08/02 19,930 300 DN, 1.90%, 06/13/02 298
See notes to financial statements. 16 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Money Market Instruments -- Continued - --------------------------------------------------------------------------------------------------- $ 37,000 DN, 2.16%, 04/03/02 $ 36,927 20,000 DN, 2.17%, 11/06/02 19,699 7,725 DN, 2.19%, 04/15/02 7,704 350,000 FRN, 1.69%, 03/19/02 350,001 250,000 FRN, 1.69%, 07/03/02 250,000 50,000 FRN, 1.73%, 12/17/02 50,000 35,000 FRN, 1.75%, 02/03/03 35,000 140,000 FRN, 2.48%, 10/17/02 140,000 83,000 MTN, FRN, 1.67%, 05/01/02 83,000 97,500 MTN, FRN, 1.73%, 12/26/02 97,500 Federal Home Loan Bank, 25,500 2.25%, 12/27/02 25,455 10,000 2.45%, 12/17/02 9,999 12,000 4.50%, 03/26/02 12,022 40,000 DN, 1.67%, 04/10/02 39,926 136,590 DN, 1.68%, 04/19/02 136,277 47,822 DN, 1.69%, 03/13/02 47,795 83,611 DN, 1.71%, 03/22/02 83,527 25,000 DN, 1.71%, 04/05/02 24,958 74,700 DN, 1.72%, 03/27/02 74,607 45,000 DN, 1.73%, 03/06/02 44,989 255,424 DN, 1.73%, 03/15/02 255,252 143,206 DN, 1.73%, 03/20/02 143,075 30,000 DN, 1.73%, 04/26/02 29,919 15,000 DN, 1.73%, 05/10/02 14,950 75,000 DN, 1.74%, 05/03/02 74,771 155,245 DN, 1.74%, 05/08/02 154,735 6,726 DN, 1.74%, 05/15/02 6,702 25,000 DN, 1.75%, 04/03/02 24,960 37,325 DN, 1.79%, 03/01/02 37,325 25,000 DN, 1.81%, 07/26/02 24,815 45,383 DN, 1.84%, 08/21/02 44,982 9,000 DN, 1.86%, 08/28/02 8,916 98,950 DN, 2.70%, 03/08/02 98,898 37,000 DN, 3.79%, 06/06/02 36,622 300,000 FRN, 1.70%, 03/15/02 299,999 98,000 FRN, 1.71%, 03/05/02 98,000 50,000 FRN, 1.72%, 06/05/02 50,000 Student Loan Marketing Association, 257,503 DN, 1.69%, 04/01/02 257,128 198,100 DN, 1.72%, 03/20/02 197,920 99,653 DN, 1.78%, 07/25/02 98,935 51,210 DN, 1.80%, 03/01/02 51,210 65,000 DN, 2.05%, 07/08/02 64,523 40,000 DN, 2.06%, 07/03/02 39,716 25,000 DN, 2.06%, 07/15/02 24,805 35,000 DN, 2.45%, 11/15/02 34,383 100,000 FRN, 1.67%, 09/27/02 99,979
See notes to financial statements. 17 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Money Market Instruments -- Continued - --------------------------------------------------------------------------------------------------- $100,000 FRN, 1.70%, 09/27/02 $ 99,974 75,000 FRN, 1.75%, 01/24/03 75,000 50,000 MTN, FRN, 1.74%, 01/24/03 50,000 --------------------------------------------------------------------------------- Total U.S. Government Agency Securities 4,899,337 (Cost $4,899,337) - --------------------------------------------------------------------------------------------------- Total Investments-- 100.0% $6,438,913 (Cost $6,438,913) * - ---------------------------------------------------------------------------------------------------
See notes to financial statements. 18 JPMorgan PRIME MONEY MARKET FUND PORTFOLIO OF INVESTMENTS As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT (USD) ISSUER VALUE - --------------------------------------------------------------------------------------------------- Money Market Instruments -- 100.0% - --------------------------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY SECURITY -- 1.0% $ 610,000 Federal National Mortgage Association, MTN, FRN, 1.74%, 12/05/02 $ 609,859 (Cost $609,859) STATE AND MUNICIPAL OBLIGATION -- 0.0% 5,460 Wake Forest University, Ser. 1997, Rev., FRDO, 1.90%, 03/07/02 5,460 (Cost $5,460) CORPORATE NOTES & BONDS -- 15.6% ASSET BACKED SECURITIES -- 3.0% Asset Securitization Cooperative Corp., 200,000 1.79%, 08/14/02 200,000 250,000 FRN, 1.82%, 04/12/02 250,000 Ciesco L.P., 200,000 FRN, 1.79%, 01/13/03 200,000 100,000 FRN, 1.89%, 02/12/03 100,000 Restructured Asset Securities with Enhanced Returns (RACERS), 232,200 1999 Ser. MM-35, FRN, #, 1.90%, 12/16/02 232,200 130,000 2000 Ser. ZCM-7, FRN, #, 1.87%, 05/30/02 130,000 276,000 2001 Ser. MM-8, FRN, #, 1.84%, 04/01/02 276,000 Special Purpose Accounts Receivable Cooperative Corp., 100,000 1.81%, 05/01/02 100,000 447,000 1.84%, 07/24/02 447,000 ------------- 1,935,200 AUTOMOTIVE -- 0.2% Toyota Motor Credit Corp., 88,000 MTN, FRN, 1.78%, 03/25/02 88,000 57,200 MTN, FRN, 1.84%, 06/10/02 57,200 ------------- 145,200 BANKING -- 4.5% 350,000 Abbey National Treasury Services PLC (United Kingdom) (Yankee), MTN, FRN, 1.76%, 12/06/02 349,865 American Express Centurion Bank, 96,800 FRN, 1.81%, 04/09/02 96,800 100,000 FRN, 1.81%, 05/10/02 100,000 66,000 FRN, 1.82%, 03/19/02 66,000 116,000 FRN, 1.82%, 03/22/02 116,000 87,000 FRN, 1.83%, 07/03/02 87,003 99,800 Bank of New York Co., Inc., Ser. D, MTN, FRN, 1.84%, 11/08/02 99,797 Bank One, N.A., 50,160 FRN, 1.95%, 05/09/02 50,172 22,000 FRN, 2.06%, 03/07/02 22,000 391,990 Credit Suisse First Boston, Inc., MTN, FRN, #, 1.87%, 04/24/02 391,990
See notes to financial statements. 19 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT (USD) ISSUER VALUE - --------------------------------------------------------------------------------------------------- Money Market Instruments -- Continued - --------------------------------------------------------------------------------------------------- BANKING -- CONTINUED First Union National Bank, $ 590,000 FRN, 1.87%, 05/20/02 $ 590,000 100,000 FRN, 1.87%, 05/23/02 99,998 26,400 FRN, 1.96%, 08/01/02 26,418 100,000 FRN, 2.00%, 07/26/02 100,071 26,400 FRN, 2.00%, 08/05/02 26,421 19,360 Fleet National Bank, FRN, 2.00%, 07/31/02 19,371 22,000 Harris Trust & Savings Bank, FRN, 1.82%, 07/19/02 22,000 600,000 Wells Fargo Bank N.A., FRN, 1.79%, 02/14/03 600,000 ------------- 2,863,906 DIVERSIFIED -- 0.3% 200,000 General Electric Capital Corp., Ser. A, MTN, FRN, 1.80%, 09/19/02 200,000 FINANCIAL SERVICES -- 6.7% Associates Corp. of North America, 75,000 FRN, 1.94%, 06/26/02 75,000 26,140 FRN, 2.03%, 05/17/02 26,149 88,000 FRN, #, 1.96%, 05/01/02 88,024 110,000 SUB, FRN, 1.91%, 03/15/02 110,000 784,710 Citigroup, Inc., Ser. E, MTN, FRN, 1.81%, 07/12/02 784,711 Goldman Sachs Group, Inc., 388,000 1.87%, 02/19/03 388,000 26,400 MTN, FRN, 2.00%, 03/15/02 26,402 244,000 Ser. A, MTN, FRN, #, 2.08%, 03/17/03 244,000 25,000 Ser. B, MTN, FRN, 1.94%, 03/21/02 25,000 Merrill Lynch & Co., Inc., 70,000 MTN, FRN, 1.92%, 03/11/02 70,002 200,000 Ser. B, MTN, 2.40%, 11/20/02 200,000 66,990 Ser. B, MTN, FRN, 1.82%, 04/03/02 66,989 110,000 Ser. B, MTN, FRN, 1.83%, 05/02/02 110,000 300,000 Ser. B, MTN, FRN, 1.86%, 03/17/03 300,000 132,000 Ser. B, MTN, FRN, 1.90%, 05/01/02 132,020 200,000 Ser. B, MTN, FRN, 1.95%, 11/08/02 200,198 Morgan Stanley Dean Witter & Co., 200,000 FRN, 1.86%, 07/16/02 200,000 260,000 MTN, FRN, 1.87%, 03/14/03 260,000 13,200 Ser. C, MTN, FRN, 1.92%, 04/22/02 13,203 Salomon Smith Barney Holdings, Inc., 13,200 Ser. H, MTN, FRN, 1.95%, 04/19/02 13,203 18,480 Ser. H, MTN, FRN, 2.02%, 05/08/02 18,485 11,735 Ser. H, MTN, FRN, 2.03%, 04/15/02 11,738 57,310 Ser. H, MTN, FRN, 2.07%, 05/14/02 57,332 43,100 Ser. H, MTN, FRN, 2.08%, 07/23/02 43,159 25,300 Ser. H, MTN, FRN, 2.10%, 04/02/02 25,305 769,980 Wells Fargo & Co., MTN, FRN, 1.84%, 03/14/03 769,980 ------------- 4,258,900 INSURANCE -- 0.2% 100,000 Jackson National Life Insurance Co., FRN, #, 1.86%, 03/21/03 100,000
See notes to financial statements. 20 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT (USD) ISSUER VALUE - --------------------------------------------------------------------------------------------------- Money Market Instruments -- Continued - --------------------------------------------------------------------------------------------------- TELECOMMUNICATIONS -- 0.5% $ 250,000 BellSouth Telecommunications, Inc., FRN, 2.03%, 01/03/03 $ 250,000 100,000 SBC Communications, Inc., #, 4.25%, 06/05/02 100,000 ------------- 350,000 UTILITIES -- 0.2% 100,000 National Rural Utilities Cooperative Finance Corp., Ser. C, MTN, FRN, 2.21%, 12/02/02 100,147 --------------------------------------------------------------------------------- Total Corporate Notes & Bonds 9,953,353 (Cost $9,953,353) --------------------------------------------------------------------------------- FUNDING AGREEMENTS/GIC -- 2.7% ------------------------------ 25,000 First Allmerica Financial Life Insurance Co., FRN, 1.92%, 04/07/02 25,000 250,000 G.E. Financial Assurance, FRN, 2.10%, 03/01/02 250,000 80,000 Jackson National Life Insurance Co., FRN, 2.08%, 09/01/03 80,000 300,000 MetLife Funding, Inc., FRN, #, 2.11%, 03/01/02 300,000 275,000 Security Life of Denver Insurance Co., FRN, 2.03%, 02/27/03 275,000 330,000 Transamerica Life Insurance & Annuity Co., FRN, 2.04%, 09/10/02 330,000 330,000 Transamerica Occidental Life Insurance Co., FRN, 2.04%, 09/10/02 330,000 50,000 Travelers Insurance Co., FRN, 1.84%, 04/24/02 50,000 50,000 United of Omaha Life Insurance Co., FRN, 1.92%, 05/17/02 50,000 --------------------------------------------------------------------------------- Total Funding Agreements/GIC 1,690,000 (Cost $1,690,000) --------------------------------------------------------------------------------- COMMERCIAL PAPER -- 28.9% ASSET BACKED SECURITIES -- 17.2% 100,000 Alpine Securitization Corp., 1.80%, 03/18/02 99,915 Amstel Funding Corp., 37,500 1.65%, 04/15/02 37,423 196,000 1.75%, 04/24/02 195,486 135,000 2.34%, 03/04/02 134,974 100,684 2.45%, 03/25/02 100,520 100,000 Amsterdam Funding Corp., 1.81%, 05/06/02 99,668 Aquinas Funding LLC, 47,500 1.82%, 05/13/02 47,325 85,000 1.94%, 08/05/02 84,281 Atlantis One Funding Corp., 90,212 1.67%, 07/02/02 89,697 92,000 1.73%, 04/22/02 91,770 150,000 1.75%, 03/20/02 149,861 25,000 1.75%, 03/27/02 24,968 74,000 1.84%, 07/25/02 73,448 189,506 1.87%, 07/26/02 188,061 132,804 1.92%, 07/24/02 131,777
See notes to financial statements. 21 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT (USD) ISSUER VALUE - --------------------------------------------------------------------------------------------------- Money Market Instruments -- Continued - --------------------------------------------------------------------------------------------------- ASSET BACKED SECURITIES -- CONTINUED Barton Capital Corp., $ 90,000 1.80%, 05/03/02 $ 89,717 145,000 1.80%, 05/06/02 144,522 131,343 1.80%, 05/09/02 130,889 100,986 1.89%, 07/08/02 100,302 Bavaria Universal Funding Co., 20,084 1.67%, 04/12/02 20,045 90,640 1.80%, 04/25/02 90,391 24,113 1.82%, 05/07/02 24,031 Beta Finance Corp., Inc. (Channel Islands), 55,000 1.75%, 04/08/02 54,898 60,000 1.79%, 05/01/02 59,818 58,000 1.80%, 05/13/02 57,788 50,000 1.84%, 06/06/02 49,752 56,500 1.84%, 07/24/02 56,081 9,123 1.92%, 03/04/02 9,122 70,000 Bills Securitization (Germany), 1.80%, 04/30/02 69,790 86,581 Blue Ridge Asset Funding Corp., 1.80%, 05/08/02 86,287 55,184 Brahms Funding Corp., 1.85%, 04/03/02 55,090 CC USA, Inc. (Centauri Corp.), 133,500 1.74%, 04/15/02 133,210 52,000 1.75%, 04/11/02 51,896 100,000 1.79%, 05/01/02 99,697 80,000 1.80%, 05/14/02 79,704 40,000 1.82%, 05/07/02 39,865 50,000 1.82%, 05/08/02 49,828 Compass Securitization LLC, 25,110 1.79%, 03/28/02 25,076 196,500 1.80%, 03/15/02 196,363 39,000 1.81%, 05/08/02 38,867 100,000 Corporate Asset Funding, 1.80%, 05/09/02 99,655 Corporate Receivables Corp., 100,000 1.75%, 04/10/02 99,806 100,000 1.79%, 04/25/02 99,727 100,000 1.80%, 05/09/02 99,655 Crown Point Capital Co., LLC, 32,666 1.83%, 04/15/02 32,591 75,000 1.83%, 04/17/02 74,821 160,556 1.83%, 04/18/02 160,164 Dakota Certificate Program (Citibank Credit Card Master Trust I), 100,000 1.64%, 03/08/02 99,968 100,000 1.82%, 04/04/02 99,828 100,000 1.82%, 04/22/02 99,737 Dorada Finance, Inc., 44,400 1.82%, 05/13/02 44,236 17,000 1.84%, 07/29/02 16,870 Edison Asset Securitization LLC, 250,000 1.74%, 04/24/02 249,348 100,000 1.79%, 03/14/02 99,935
See notes to financial statements. 22 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT (USD) ISSUER VALUE - --------------------------------------------------------------------------------------------------- Money Market Instruments -- Continued - --------------------------------------------------------------------------------------------------- ASSET BACKED SECURITIES -- CONTINUED $ 250,000 1.80%, 05/13/02 $ 249,088 227,000 1.81%, 05/09/02 226,212 88,000 1.82%, 03/20/02 87,915 290,400 1.82%, 05/21/02 289,211 200,000 1.82%, 05/28/02 199,110 152,600 Falcon Asset Securitization Corp., 1.81%, 03/15/02 152,493 FCAR Owner Trust Series I, 100,000 1.77%, 03/11/02 99,951 95,000 1.77%, 04/08/02 94,823 Galaxy Funding, Inc., 50,000 1.63%, 04/18/02 49,891 180,600 1.73%, 04/19/02 180,174 50,000 1.73%, 04/26/02 49,865 150,000 1.74%, 04/25/02 149,601 135,000 1.81%, 05/13/02 134,505 184,500 1.81%, 05/15/02 183,804 Gemini Funding Corp., 76,000 1.75%, 03/11/02 75,963 95,536 1.84%, 05/03/02 95,228 55,605 Giro Multi-Funding Corp., 1.81%, 04/17/02 55,474 100,000 Greenwich Funding Corp., 1.80%, 03/18/02 99,915 Greyhawk Funding LLC, 110,000 1.74%, 04/05/02 109,814 56,200 1.81%, 03/15/02 56,160 186,653 Jupiter Securitization Corp., 1.81%, 03/20/02 186,475 K2 (USA) LLC, 31,500 1.81%, 04/08/02 31,440 69,000 1.88%, 07/08/02 68,535 25,000 2.05%, 03/13/02 24,983 66,000 2.21%, 04/25/02 65,777 129,730 Liberty Street Funding Corp., 1.81%, 04/11/02 129,463 Links Finance LLC, 45,000 1.77%, 04/05/02 44,923 25,000 1.82%, 05/03/02 24,920 30,000 1.90%, 03/04/02 29,995 83,000 2.02%, 03/20/02 82,912 25,000 2.23%, 03/28/02 24,958 145,295 Market Street Funding, 1.82%, 03/25/02 145,119 Mont Blanc Capital Corp., 82,523 1.80%, 05/13/02 82,222 100,000 1.81%, 03/25/02 99,879 127,592 1.81%, 04/05/02 127,367 100,000 1.82%, 05/08/02 99,656 Montauk Funding Corp., 90,000 1.75%, 04/15/02 89,803 61,000 1.79%, 04/29/02 60,821 Newcastle Certificates Program (Discover Card Master Trust I), 140,000 1.81%, 03/27/02 139,817 50,000 1.81%, 04/01/02 49,922
See notes to financial statements. 23 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT (USD) ISSUER VALUE - --------------------------------------------------------------------------------------------------- Money Market Instruments -- Continued - --------------------------------------------------------------------------------------------------- ASSET BACKED SECURITIES -- CONTINUED $ 78,000 1.82%, 04/04/02 $ 77,866 100,000 2.02%, 03/05/02 99,978 Pennine Funding LLC, 100,000 1.74%, 04/08/02 99,816 66,000 1.75%, 04/09/02 65,875 103,100 1.75%, 04/11/02 102,895 115,000 1.79%, 03/07/02 114,966 66,000 1.79%, 03/28/02 65,911 200,000 Preferred Rec Funding (PREFCO), 1.80%, 03/18/02 199,830 90,000 Prudential Funding Corp., 1.73%, 04/22/02 89,775 Silver Tower U.S. Funding LLC, 70,000 1.79%, 03/11/02 69,965 91,000 1.79%, 04/29/02 90,733 47,000 1.81%, 04/02/02 46,924 50,000 1.83%, 03/07/02 49,985 20,000 1.90%, 03/04/02 19,997 Special Purpose Accounts Receivable Cooperative Corp., 35,000 1.80%, 03/26/02 34,956 50,000 1.82%, 03/20/02 49,952 Stellar Funding Group, Inc., 65,500 1.80%, 03/28/02 65,412 23,405 1.93%, 03/04/02 23,401 75,000 Surrey Funding Corp., 1.81%, 04/04/02 74,872 Thames Asset Global Securitization (TAGS), 60,165 1.84%, 03/28/02 60,082 29,776 2.06%, 04/15/02 29,699 19,344 2.10%, 03/28/02 19,314 Variable Funding Capital Corp., 100,000 1.74%, 03/12/02 99,947 70,000 1.78%, 04/04/02 69,882 200,000 1.80%, 05/06/02 199,340 100,000 1.80%, 05/07/02 99,665 ------------- 11,007,766 BANKING -- 6.2% Allied Irish Banks PLC (United Kingdom), 95,000 1.75%, 04/08/02 94,825 46,450 1.76%, 03/11/02 46,427 75,000 1.93%, 03/04/02 74,988 Banco Santander Central Hispano SA (Spain), 100,000 1.73%, 04/11/02 99,803 75,000 1.80%, 04/02/02 74,880 95,000 1.85%, 07/25/02 94,287 150,000 2.02%, 03/21/02 149,832 100,000 2.31%, 03/06/02 99,968 50,000 2.48%, 03/13/02 49,959 50,000 2.48%, 03/19/02 49,938 174,000 Banque ET Caisse D'Epargne De L'Etat (Luxembourg), 1.85%, 07/11/02 172,820
See notes to financial statements. 24 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT (USD) ISSUER VALUE - --------------------------------------------------------------------------------------------------- Money Market Instruments -- Continued - --------------------------------------------------------------------------------------------------- BANKING -- CONTINUED $ 175,000 Citibank, 2.01%, 03/04/02 $ 174,971 85,000 Commerzbank AG (Germany), 1.90%, 03/08/02 84,969 123,250 Commerzbank International, Europe (Germany), 1.85%, 03/12/02 123,180 Den Danske Corp., 35,400 1.73%, 04/18/02 35,318 55,000 1.74%, 04/09/02 54,896 85,000 1.81%, 07/10/02 84,440 130,000 1.94%, 03/04/02 129,979 94,000 Den Norske Bank, 1.85%, 03/21/02 93,903 Depfa Deutsche Pfandbrief Bank AG, 37,000 1.78%, 04/08/02 36,930 150,000 1.80%, 03/14/02 149,903 Dexia Delaware LLC, 94,900 1.76%, 04/04/02 94,743 60,000 1.76%, 04/10/02 59,883 20,000 1.84%, 06/03/02 19,904 30,000 1.89%, 08/06/02 29,751 42,376 Fortis Funding LLC, 1.72%, 04/09/02 42,297 Govco, Inc., 25,000 1.63%, 04/12/02 24,952 110,000 1.74%, 04/18/02 109,745 56,000 1.80%, 05/08/02 55,810 ING American Insurance Holdings, Inc. (Netherlands), 75,000 1.73%, 04/26/02 74,798 75,000 1.77%, 04/01/02 74,886 Internationale-Nederlanden U.S. Funding (Netherlands), 155,000 1.81%, 07/23/02 153,878 100,000 1.83%, 07/22/02 99,273 Landesbank Schleswig Holstein (Germany), 60,000 1.90%, 08/06/02 59,500 50,000 1.91%, 08/02/02 49,591 32,000 Macquarie Bank LTD (Australia), 1.87%, 03/20/02 31,968 Royal Bank of Scotland Group PLC (United Kingdom), 33,300 1.72%, 04/05/02 33,244 25,000 1.81%, 07/17/02 24,827 72,000 Spintab AB (Germany), 1.85%, 06/12/02 71,619 Svenska Handelsbanken, Inc. (Sweden), 50,000 1.72%, 04/04/02 49,919 25,000 1.86%, 07/08/02 24,833 Swedbank (Sweden), 56,000 2.20%, 03/21/02 55,932 100,000 2.48%, 03/12/02 99,924 453,000 UBS Finance LLC (Delaware), 1.90%, 03/01/02 453,000 75,000 Westdeutsche Landesbank Girozentrale (Germany), 1.81%, 07/11/02 74,502 100,000 Westpac Banking Corp. (Australia), 1.80%, 04/12/02 99,790 ------------- 3,944,785
See notes to financial statements. 25 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT (USD) ISSUER VALUE - --------------------------------------------------------------------------------------------------- Money Market Instruments -- Continued - --------------------------------------------------------------------------------------------------- DIVERSIFIED -- 2.0% General Electric Capital Corp., $ 160,000 1.77%, 03/08/02 $ 159,945 420,367 1.90%, 03/01/02 420,367 98,000 1.90%, 08/05/02 97,188 133,500 1.92%, 07/30/02 132,425 25,000 2.03%, 03/06/02 24,993 75,000 2.08%, 05/20/02 74,653 150,000 2.32%, 03/08/02 149,932 75,000 2.40%, 03/21/02 74,900 100,000 2.46%, 03/27/02 99,822 40,000 3.39%, 03/04/02 39,989 ------------- 1,274,214 FINANCIAL SERVICES -- 3.0% 100,000 ABN-AMRO North American Finance (Netherlands), 1.81%, 07/09/02 99,346 50,000 Bradford & Bingley PLC (United Kingdom), 1.76%, 04/08/02 49,907 CXC, Inc., 30,500 1.79%, 05/16/02 30,385 90,000 1.80%, 03/20/02 89,915 100,000 1.80%, 05/07/02 99,665 100,000 1.80%, 05/09/02 99,655 Fairway Finance Corp., 39,175 1.73%, 04/15/02 39,090 45,199 1.75%, 04/12/02 45,107 15,802 HD Real Estate Funding Corp., 1.96%, 05/06/02 15,745 161,246 Kitty Hawk Funding Corp., 1.81%, 05/10/02 160,678 89,900 Morgan Stanley Dean Witter & Co., 1.73%, 04/25/02 89,662 18,900 Nationwide Building Society (United Kingdom), 2.47%, 03/07/02 18,892 140,000 Nordea North America (Sweden), 1.79%, 04/29/02 139,588 45,000 Northern Trust Co., 1.72%, 04/10/02 44,914 50,000 San Paolo U.S. Financial Co. (Italy), 1.81%, 07/10/02 49,671 Societe Generale (France) (Yankee), 50,000 1.79%, 03/14/02 49,968 130,600 2.00%, 03/01/02 130,600 Swedish National Housing Finance (Sweden), 30,000 1.75%, 04/08/02 29,945 49,000 1.78%, 04/12/02 48,898 20,000 1.83%, 05/14/02 19,925 Swiss Re Financial Products Corp. (Switzerland), 100,000 1.80%, 04/29/02 99,705 39,000 1.80%, 05/15/02 38,854 Trident Capital Finance, Inc., 121,072 1.78%, 04/04/02 120,868 198,800 1.78%, 04/09/02 198,416 50,000 1.80%, 05/03/02 49,843 35,000 Tulip Funding Corp., 1.80%, 03/11/02 34,983 ------------- 1,894,225
See notes to financial statements. 26 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT (USD) ISSUER VALUE - --------------------------------------------------------------------------------------------------- Money Market Instruments -- Continued - --------------------------------------------------------------------------------------------------- FOOD/BEVERAGE PRODUCTS -- 0.4% Nestle Capital Corp. (Switzerland), $ 99,900 1.79%, 04/29/02 $ 99,607 125,000 1.99%, 03/08/02 124,951 ------------- 224,558 INSURANCE -- 0.1% 84,000 International Lease Finance Corp., 2.25%, 03/25/02 83,874 --------------------------------------------------------------------------------- Total Commercial Paper 18,429,422 (Cost $18,429,422) --------------------------------------------------------------------------------- CERTIFICATES OF DEPOSIT -- 41.0% Abbey National Treasury Services PLC (United Kingdom) (Yankee), 750,000 1.86%, 07/09/02 750,000 250,000 1.94%, 08/05/02 250,011 ABN-AMRO Bank NV (Netherlands), 200,000 2.55%, 12/20/02 199,921 150,000 FRN, 1.75%, 12/06/02 149,939 150,000 Alliance & Leicester PLC (United Kingdom), 2.52%, 03/25/02 150,002 200,000 Banca Intesa SPA (Italy), 2.24%, 03/25/02 200,001 250,000 Bank of America, 2.44%, 03/27/02 250,000 Bank of Scotland (United Kingdom), 350,000 1.84%, 06/07/02 350,000 300,000 1.93%, 03/04/02 300,000 250,000 1.95%, 03/04/02 250,000 100,000 2.00%, 03/08/02 100,000 150,000 2.00%, 04/08/02 150,000 50,000 2.23%, 04/24/02 50,008 250,000 2.31%, 03/11/02 250,000 28,000 3.31%, 03/11/02 28,008 Barclays Bank PLC (United Kingdom) (Yankee), 400,000 1.83%, 07/10/02 400,000 250,000 1.93%, 07/31/02 250,000 529,000 FRN, 1.79%, 07/02/02 528,947 Bayerische Hypo-und Vereinsbank AG (Germany) (Yankee), 310,000 1.83%, 06/11/02 310,000 300,000 1.86%, 07/09/02 300,000 200,000 1.88%, 07/08/02 200,000 881,920 FRN, 1.79%, 06/28/02 881,827 200,000 FRN, 1.80%, 10/22/02 200,000 Bayerische Landesbank Girozentrale (Germany) (Yankee), 150,000 1.63%, 04/18/02 150,000 195,000 2.23%, 03/25/02 195,001 282,000 FRN, 1.81%, 04/10/02 282,000
See notes to financial statements. 27 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT (USD) ISSUER VALUE - --------------------------------------------------------------------------------------------------- Money Market Instruments -- Continued - --------------------------------------------------------------------------------------------------- BNP Paribas (France) (Yankee), $ 48,250 1.71%, 07/31/02 $ 48,222 500,000 1.84%, 07/24/02 500,000 300,000 2.31%, 03/05/02 300,000 650,000 2.72%, 03/20/02 650,000 Canadian Imperial Bank of Commerce (Canada) (Yankee), 97,000 2.37%, 11/19/02 96,993 499,750 FRN, 1.77%, 12/06/02 499,616 10,000 FRN, 1.78%, 05/09/02 9,999 44,000 FRN, 1.79%, 05/28/02 43,998 425,000 FRN, 1.79%, 07/02/02 424,957 429,000 FRN, 1.81%, 06/11/02 428,988 Citibank N.A., 161,300 1.80%, 05/15/02 161,300 126,500 1.81%, 06/04/02 126,500 600,000 1.94%, 03/04/02 600,000 Commerzbank AG (Germany) (Yankee), 500,000 2.74%, 03/20/02 500,003 264,000 4.24%, 05/22/02 264,000 317,670 4.25%, 05/22/02 317,670 250,000 FRN, 1.79%, 06/28/02 249,978 Credit Agricole Indosuez SA (France) (Yankee), 152,000 1.70%, 07/31/02 152,000 344,070 FRN, 1.79%, 05/21/02 344,066 Credit Suisse First Boston (Switzerland) (Yankee), 300,000 1.80%, 05/14/02 300,000 300,000 1.81%, 04/04/02 300,000 Deutsche Bank AG (Germany) (Yankee), 241,900 1.62%, 04/25/02 241,900 225,000 2.13%, 05/28/02 225,000 250,000 2.47%, 03/20/02 250,000 425,000 FRN, 1.77%, 09/30/02 424,877 400,000 FRN, 1.77%, 10/02/02 399,882 Dexia Bank (Belgium) (Yankee), 380,800 FRN, 1.78%, 07/03/02 380,756 150,000 1.75%, 04/10/02 150,001 Dresdner Bank AG (Germany), 200,000 1.86%, 07/09/02 200,000 100,000 1.88%, 06/06/02 100,000 85,000 2.00%, 04/08/02 85,000 100,000 2.00%, 09/04/02 100,000 200,000 2.08%, 03/28/02 200,000 225,000 2.31%, 03/05/02 225,000 200,000 2.48%, 11/26/02 200,000 94,000 First Union National Bank, FRN, 1.86%, 05/14/02 94,000
See notes to financial statements. 28 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT (USD) ISSUER VALUE - --------------------------------------------------------------------------------------------------- Money Market Instruments -- Continued - --------------------------------------------------------------------------------------------------- Halifax PLC (United Kingdom), $ 100,000 1.84%, 06/07/02 $ 100,000 125,000 2.03%, 05/23/02 125,000 400,000 2.22%, 03/26/02 400,000 50,000 3.44%, 03/11/02 50,010 100,000 HSBC Bank PLC (United Kingdom) (Yankee), 1.90%, 07/29/02 100,000 400,000 ING Bank (Netherlands), 1.94%, 08/12/02 400,000 100,000 InteseaBci SpA (Italy), 1.96%, 03/04/02 100,000 100,000 Landesbank Baden-Wuerttenberg (Germany), 1.98%, 08/05/02 100,000 Landesbank Hessen-Thuringen Girozentrale (Germany) (Yankee), 200,000 1.83%, 07/25/02 200,000 385,000 2.00%, 09/04/02 385,000 200,000 Lloyds TSB Bank PLC (United Kingdom), 1.87%, 03/05/02 200,000 Merita Bank PLC (Finland) (Yankee), 125,000 2.22%, 03/25/02 125,000 327,350 FRN, 1.81%, 05/21/02 327,350 96,800 Natexis Banque Populaires (France) (Yankee), FRN, 1.80%, 07/02/02 96,790 100,000 National Australia Bank (Australia), 1.86%, 07/09/02 100,000 Norddeutsche Landesbank Girozentrale (Germany), 100,000 1.84%, 07/15/02 100,000 100,000 1.93%, 03/11/02 100,000 150,000 1.93%, 07/31/02 150,000 200,000 Rabobank Nederland NV (Netherlands), 1.80%, 03/18/02 200,000 Societe Generale (France) (Yankee), 300,000 1.63%, 04/18/02 300,002 500,000 1.64%, 04/17/02 500,000 95,000 1.91%, 07/08/02 95,027 650,000 FRN, 1.74%, 12/16/02 649,753 Svenska Handelsbanken, Inc. (Sweden), 35,000 3.37%, 03/05/02 35,004 25,000 4.10%, 04/05/02 24,996 225,000 Toronto Dominion Bank LTD (Canada), 1.75%, 03/12/02 225,000 150,000 U.S. Bank N.A., 2.22%, 03/25/02 150,000 UBS AG (Switzerland) (Yankee), 650,000 1.79%, 04/12/02 650,000 500,000 1.83%, 07/31/02 500,000 115,000 1.84%, 07/31/02 115,004 125,000 1.85%, 07/31/02 125,010 250,000 1.88%, 07/08/02 250,004 385,000 1.94%, 08/05/02 385,000 100,000 2.02%, 06/07/02 100,000 500,000 2.62%, 11/29/02 499,963 408,000 Verizon Global Funding, Inc., 1.86%, 03/20/02 407,984
See notes to financial statements. 29 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT (USD) ISSUER VALUE - --------------------------------------------------------------------------------------------------- Money Market Instruments -- Continued - --------------------------------------------------------------------------------------------------- Westdeutsche Landesbank Girozentrale (Germany) (Yankee), $ 325,000 1.90%, 07/25/02 $ 325,000 763,180 FRN, 1.78%, 05/29/02 763,120 --------------------------------------------------------------------------------- Total Certificates of Deposit 26,180,388 (Cost $26,180,388) --------------------------------------------------------------------------------- TIME DEPOSITS -- 6.3% 300,000 Caisse Des Depots et Consignations (France), 1.88%, 03/01/02 300,000 236,796 Fifth Third Bank, 1.88%, 03/01/02 236,796 450,000 Natexis Banque Populaires (France), 1.89%, 03/01/02 450,000 800,000 National Australia Bank LTD (Australia), 1.88%, 03/01/02 800,000 750,000 National City Bank, 1.84%, 03/01/02 750,000 Societe Generale (Grand Cayman Branch), 450,000 1.84%, 03/01/02 450,000 500,000 1.88%, 03/01/02 500,000 500,000 Westdeutsche Landesbank Girozentrale (Germany) (Yankee), 1.84%, 03/01/02 500,000 --------------------------------------------------------------------------------- Total Time Deposits 3,986,796 (Cost $3,986,796) --------------------------------------------------------------------------------- REPURCHASE AGREEMENTS -- 4.5% 385,086 Deutsche Bank AG, 1.90%, dated 02/28/02, due 03/01/02,repurchase price $385,106, collateralized by U.S. Government Agency Securities 385,086 500,000 Lehman Brothers, Inc., 1.89%, dated 02/28/02, due 03/01/02, repurchase price $500,026, collateralized by U.S. Government Agency Securities 500,000 2,000,000 UBS AG, 1.90%, dated 02/28/02, due 03/01/02, repurchase price $2,000,106, collaterized by U.S. Government Agency Securities 2,000,000 --------------------------------------------------------------------------------- Total Repurchase Agreements 2,885,086 (Cost $2,885,086) - --------------------------------------------------------------------------------------------------- Total Investments -- 100.0% $63,740,364 (Cost $63,740,364) * - ---------------------------------------------------------------------------------------------------
See notes to financial statements. 30 JPMorgan TAX FREE MONEY MARKET FUND PORTFOLIO OF INVESTMENTS As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Money Market Instruments -- 100.0% - --------------------------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY SECURITY -- 0.3% $ 20,000 Federal Home Loan Bank, DN, 1.76%, 03/01/02 (Cost $20,000) $ 20,000 STATE AND MUNICIPAL OBLIGATIONS -- 99.7% ALABAMA -- 1.2% 31,200 Alabama Special Care Facilities Financing Authority, Ascension Health Credit, Ser. B, Rev., FRDO, 1.25%, 03/06/02 31,200 900 Alabama Special Care Facilities Financing Authority, Montgomery Hospital, Rev., FRDO, FGIC, 1.01%, 03/06/02 900 5,000 Birmingham Airport Authority, Municipal Securities Trust Receipts, Ser. SGA-47, Rev., FRDO, MBIA, 1.23%, 03/06/02 5,000 6,175 Fairfield IDB, Environmental Improvement, USX Corp. Project, Rev., FRDO, 1.15%, 03/07/02 6,175 3,000 Infirmary Health System Special Care Financing Authority, Ser. A, Rev., FRDO, 1.17%, 03/07/02 3,000 12,100 Jefferson County, FLOATS, Ser. PA-487-R, Rev., FRDO, FGIC, 1.21%, 03/07/02 12,100 10,400 Mcintosh IDB, Environmental Improvement, CIBA Specialty Chemicals, Rev., FRDO, 1.40%, 03/01/02 10,400 4,800 St. Clair County IDB, IDR, National Cement Co., Inc. Project II, Rev., FRDO, 2.13%, 03/07/02 4,800 500 Stevenson IDB, Environmental Improvement, The Mead Corp. Project, Ser. B, Rev., FRDO, 1.40%, 03/01/02 500 5,800 Stevenson IDB, Environmental Improvement, The Mead Corp. Project, Ser. C, Rev., FRDO, 1.40%, 03/01/02 5,800 2,100 Stevenson IDB, Environmental Improvement, The Mead Corp. Project, Ser. D, Rev., FRDO, 1.30%, 03/01/02 2,100 1,500 Stevenson IDB, Environmental Improvement, The Mead Corp. Project, Ser. D, Rev., FRDO, 1.40%, 03/01/02 1,500 8,000 University of Alabama, Hospital, Ser. B, Rev., FRDO, AMBAC, 1.01%, 03/06/02 8,000 -------------- 91,475 ALASKA -- 1.6% 5,500 Alaska Energy Authority, Energy Utilities, Rev., FSA, ^, 6.75%, 07/01/02 5,683 7,835 Alaska State Housing Finance Corp., Floating Rate Trust Receipts, Ser. L-20, Regulation D, FRDO, 1.25%, 03/06/02 7,883 2,850 Alaska State Housing Finance Corp., Floating Rate Trust Receipts, Ser. L-25, Regulation D, Rev., FRDO, MBIA, 1.25%, 03/06/02 2,850
See notes to financial statements. 31 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Money Market Instruments -- Continued - --------------------------------------------------------------------------------------------------- ALASKA -- CONTINUED $ 7,875 Alaska State Housing Finance Corp., Floating Rate Trusts Receipts, Ser. N-13, Regulation D, Rev., FRDO, 1.30%, 03/06/02 $ 7,875 7,190 Alaska State Housing Finance Corp., FLOATS, Ser. PT-464, Rev., FRDO, 1.21%, 03/07/02 7,190 26,480 Alaska State Housing Finance Corp., Government Purpose, Ser. A, Rev., FRDO, MBIA, 1.15%, 03/07/02 26,480 10,000 Alaska State Housing Finance Corp., Government Purpose, Ser. B, Rev., FRDO, MBIA, 1.14%, 03/07/02 10,000 9,900 North Slope Boro, Alaska, Exempt Facilities, BP Exploration Alaska Project, FRDO, 1.40%, 03/01/02 9,900 6,750 Valdez Marine Terminal, BP Pipelines, Inc. Project, Rev., FRDO, 1.30%, 03/01/02 6,750 5,500 Valdez Marine Terminal, Exxon Mobile Project, Rev., FRDO, 1.25%, 03/01/02 5,500 4,400 Valdez Marine Terminal, Exxon Pipeline Co. Project, Rev., FRDO, 1.25%, 03/01/02 4,400 23,700 Valdez Marine Terminal, Exxon Pipeline Co. Project, Ser. A, Rev., FRDO, 1.25%, 03/01/02 23,700 -------------- 118,211 ARIZONA -- 1.2% 7,700 Apache County IDA, IDR, Tucson Electrical Power, Springerville, Rev., FRDO, 1.15%, 03/06/02 7,700 3,500 Coconino County Pollution Control Corp., Arizona Public Service Co. Project, Rev., FRDO, 1.30%, 03/01/02 3,500 7,000 Eagle Tax Exempt Trust, Weekly Option Mode, Salt River Project, FRDO, 1.24%, 03/07/02 7,000 11,295 Maricopa County Community College District, FLOATS, Ser. PA-857, GO, FRDO, 1.21%, 03/07/02 11,295 12,200 Maricopa County Pollution Control Corp., PCR, Arizona Public Service Co., Ser. D, Rev., FRDO, 1.30%, 03/01/02 12,200 3,840 Maricopa County Public Finance Corp., Floating Rate Certficates, Ser. 511, Rev., FRDO, AMBAC, 1.22%, 03/07/02 3,840 10,543 Salt River Agricultural Improvement & Power District, Electric Systems, Salt River Improvement Project, Floating Rate Certificates, Ser. 274, Rev., FRDO, 1.22%, 03/07/02 10,618 16,000 Salt River Agricultural Improvement & Power District, Electric Systems, Salt River Improvement Project, Ser. A, Rev., 4.00%, 01/01/03 16,284 500 Tempe, Arizona, Excise Tax, Rev., FRDO, 1.30%, 03/13/02 500 17,300 University of Arizona, Main Campus & Research, COP, Ser. A, Rev., FRDO, AMBAC, 1.15%, 03/06/02 17,300 -------------- 90,237 ARKANSAS -- 0.1% 5,500 Columbia County, Solid Waste Disposal, Albemarle Corp. Project, Rev., FRDO, 1.35%, 03/07/02 5,500
See notes to financial statements. 32 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Money Market Instruments -- Continued - --------------------------------------------------------------------------------------------------- CALIFORNIA -- 5.7% $ 7,200 Anaheim Housing Authority, Multi-Family Housing, Fountains of Anaheim Hills, Ser. A, Rev., FRDO, 4.95%, 08/20/02 $ 7,233 10,000 California Community College Financing Authority, Floating Rate Trusts Receipts, Ser L-17, Regulation D, Rev., FRDO, 1.20%, 03/06/02 10,000 15,000 California Higher Education Loan Authority, Student Loan Revenue, Ser. C, Rev., FRDO, 2.88%, 06/01/02 15,000 18,500 California Housing Finance Agency, Home Mortgage, Ser. I, Rev., 2.95%, 06/14/02 18,500 1,600 California Housing Finance Agency, Home Mortgage, Ser. J, Rev., FRDO, FSA, 1.20%, 03/01/02 1,600 300 California PCFA, PCR, Exxon-Mobil Project, Rev., FRDO, 1.20%, 03/01/02 300 100 California PCFA, PCR, Shell Oil Co. Project, Ser. B, Rev., FRDO, 1.25%, 03/01/02 100 300 California State Economic Development Financing Authority, IDR, Standard Abrasives Manufacturing Project, Rev., FRDO, 1.15%, 03/06/02 300 300 California State Economic Development Financing Authority, IDR, Volk Enterprises, Inc. Project, Rev., FRDO, 1.10%, 03/07/02 300 2,200 California State, Floating Rate Receipts, Ser. SG-89, GO, FRDO, MBIA-IBC, 1.35%, 03/06/02 2,200 232,550 California State, GO, RAN, 3.25%, 06/28/02 233,485 1,300 California State, Municipal Securities Trust Receipts, Ser. SGA-55, GO, FRDO, FGIC, 1.08%, 03/06/02 1,300 14,000 California State, Ser. B, GO, RAN, FRDO, 1.34%, 03/07/02 14,000 23,000 California State, Ser. C, GO, RAN, FRDO, 1.50%, 03/07/02 23,000 29,300 California Statewide Communities Development Authority, Ser. L-23, Regulation D, Rev., FRDO, 1.20%, 03/06/02 29,300 1,395 Delano, California, COP, Ser. L-38, Regulation D, 1.10%, 03/06/02 1,395 500 Irvine, California, Improvement Bond Act of 1915, Assessment District No. 00-18, Ser. A, FRDO, 1.30%, 03/01/02 500 2,700 Livermore, California, Multi-Family Housing, Park, Ser. A, Rev., FRDO, 1.00%, 03/06/02 2,700 2,800 Los Angeles County Sanitation Districts Financing Authority, Municipal Securities Trust Receipts, Ser. SG-12, Rev., 1.35%, 03/01/02 2,800 39,875 Los Angeles Regional Airports Improvement Corp., LAX International Airport, Sublease 2, Rev., FRDO, 1.40%, 03/01/02 39,875 6,000 Los Angeles Unified School District, GO, TRAN, 4.00%, 07/23/02 6,033
See notes to financial statements. 33 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Money Market Instruments -- Continued - --------------------------------------------------------------------------------------------------- CALIFORNIA -- CONTINUED $ 1,000 Metropolitan Water District of Southern California, Waterworks, Ser. B-3, Rev., FRDO, 1.30%, 03/01/02 $ 1,000 1,600 Orange County Apartment Development, Multi- Family Housing, Pointe Niguel Project, Ser. C, Rev., FRDO, 1.00%, 03/07/02 1,600 3,000 San Francisco City & County Airports Commission, Municipal Securities Trust Receipts, Ser. SG-110, Rev., FRDO, FGIC, 1.35%, 03/07/02 3,000 -------------- 415,521 COLORADO -- 2.4% 1,000 Arapahoe County, Capital Improvement Trust, Federal Highway, FLOATS, Ser. PT-437, Rev., FRDO, 1.25%, 03/07/02 1,007 2,850 Arvada, Colorado, Rev., FRDO, FSA, 1.55%, 03/01/02 2,850 4,995 Colorado Department of Transportation, FLOATS, Ser. PA-832, Rev., FRDO, MBIA, 1.21%, 03/07/02 4,999 1,600 Colorado Housing & Finance Authority, Multi-Family Housing, Diamond Project, Rev., FRDO, 1.20%, 03/06/02 1,600 6,520 Colorado Springs, Colorado, Utilities, FLOATS, Ser. PT-367, Rev., 1.25%, 03/07/02 6,520 2,500 Colorado Student Obligation Bond Authority, Senior Lien, Ser. A-3, Rev., FRDO, AMBAC, 1.22%, 03/06/02 2,500 31,155 Denver City & County Airport, Floating Rate Trust Certificates, Ser. 153, Rev., FRDO, MBIA, 1.85%, 03/07/02 31,159 11,965 Denver City & County Airport, Floating Rate Trust Certificates, Ser. A-16, Regulation D, Rev., FRDO, MBIA-IBC, 1.30%, 03/06/02 11,965 5,000 Denver City & County Airport, Floating Rate Trust Certificates, Ser. N-12, Regulation D, Rev., FRDO, FGIC, 1.30%, 03/06/02 5,000 11,695 Denver City & County Airport, Municipal Securities Trust Receipts, Ser. SGA-18, Rev., FRDO, MBIA, 1.23%, 03/06/02 11,706 14,315 Denver City & County, COP, FLOATS, Ser. PA-733, AMBAC, 1.21%, 03/07/02 14,322 30,000 Denver, Colorado, Promissory Note, 1.30%, 03/11/02 30,000 10,000 Douglas County Multi-Family Housing, Autumn Chase Project, Rev., FRDO, 1.15%, 03/07/02 10,000 20,000 Jefferson County School District No. R-001, GO, TRAN, 3.50%, 06/28/02 20,065 8,370 Platte River Power Authority, FLOATS, Ser. PA-729-R, Rev., FRDO, 1.21%, 03/07/02 8,416 10,950 Smith Creek Metropolitan District, Rev., FRDO, 1.20%, 03/07/02 10,950 -------------- 173,059
See notes to financial statements. 34 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Money Market Instruments -- Continued - --------------------------------------------------------------------------------------------------- CONNECTICUT -- 0.8% $ 2,465 Connecticut State Health & Educational Facilities Authority, Lawrence and Memorial Hospital, Ser. C, Rev., ^, MBIA, 6.25%, 07/01/02 $ 2,543 11,000 Meriden, Connecticut, GO, BAN, 3.25%, 08/08/02 11,021 44,900 Waterbury, Connecticut, Floating Rate Receipts, Ser. L-13, Regulation D, GO, FRDO, 1.45%, 03/06/02 44,900 -------------- 58,464 DISTRICT OF COLUMBIA -- 3.3% 1,820 District of Columbia Housing Finance Agency, Floating Rate Trust Receipts, Ser. L-1, Regulation D, Rev., FRDO, 1.30%, 03/06/02 1,820 3,165 District of Columbia Housing Finance Agency, Multi-Family Housing, Trenton Park Apartments Project, Rev., FRDO, 1.40%, 03/07/02 3,165 2,420 District of Columbia National Children's Center, Inc., FRDO, 1.20%, 03/07/02 2,420 5,970 District of Columbia Water and Sewer Authority, Public Utilities, FLOATS, Ser. PT-373, Rev., FRDO, FSA, 1.21%, 03/07/02 5,970 28,900 District of Columbia, American University Issue, Rev., FRDO, AMBAC, 1.15%, 03/06/02 28,900 12,000 District of Columbia, American University, Ser. A, Rev., FRDO, AMBAC, 1.15%, 03/06/02 12,000 7,500 District of Columbia, Enterprise Zone, House on F Street Project, Rev., FRDO, 1.25%, 03/07/02 7,500 41,335 District of Columbia, George Washington University, Ser. C, Rev., FRDO, MBIA, 1.05%, 03/06/02 41,335 3,500 District of Columbia, National Public Radio Issue, Rev., ^, 7.70%, 01/01/03 3,721 16,810 District of Columbia, Ser. A, GO, FRDO, FSA, 1.15%, 03/06/02 16,810 34,555 District of Columbia, Ser. B, GO, FRDO, FSA, 1.15%, 03/06/02 34,555 20,000 District of Columbia, Ser. C, GO, FRDO, FGIC, 1.15%, 03/06/02 20,000 10,000 District of Columbia, Ser. D, GO, FRDO, FGIC, 1.15%, 03/06/02 10,000 7,690 District of Columbia, Smithsonian Museum, Ser. B, Rev., FRDO, 1.15%, 03/07/02 7,690 14,500 Eagle Tax Exempt Trust, Weekly Option Mode, District of Columbia, Water & Sewer, Ser. 3, Class 7, Rev., #, FRDO, 1.24%, 03/07/02 14,500 6,155 Eagle Tax Exempt Trust, Weekly Option Mode, District of Columbia, Water & Sewer, Ser. 98-5202, #, FRDO, 1.24%, 03/07/02 6,155 6,500 Washington D.C. Water & Sewer Authority, 1.65%, 06/03/02 6,500 15,000 Washington D.C. Water & Sewer Authority, 1.70%, 07/08/02 15,000 -------------- 238,041
See notes to financial statements. 35 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Money Market Instruments -- Continued - --------------------------------------------------------------------------------------------------- FLORIDA -- 3.6% $ 1,150 Collier County Health Facilities Authority, The Moorings, Inc. Project, Rev., FRDO, 1.15%, 03/06/02 $ 1,150 2,620 Dade County Housing Finance Authority, Multi- Family Housing, Kendall Court Apartments, Rev., FRDO, 1.25%, 03/07/02 2,620 1,945 Dade County Housing Finance Authority, Multi-Family Housing, Star Creek Apartments, Rev., FRDO, 1.25%, 03/07/02 1,945 515 Dade County Housing Finance Authority, Single Family Housing, FLOATS, Ser. PT-344, Rev., FRDO, 1.32%, 03/06/02 519 5,680 Escambia County Housing Finance Authority, Single Family Housing, FLOATS, Ser. PT-1228, Rev., FRDO, MBIA, 1.28%, 03/07/02 5,687 5,275 Florida Housing Finance Agency, Multi-Family Housing, Banyon, Ser. L, Rev., FRDO, 1.17%, 03/06/02 5,275 5,135 Florida Housing Finance Agency, Ser. AA, FRDO, 1.15%, 03/06/02 5,135 6,840 Florida Housing Finance Corp., Multi-Family Housing, Island Club, Ser. A, Rev., FRDO, 1.15%, 03/07/02 6,840 12,500 Florida Local Government, GO, 2.05%, 03/04/02 12,500 7,000 Florida State Board of Education, Capital Outlay, FLOATS, Ser. PT-1223, GO, FRDO, 1.21%, 03/07/02 7,004 5,920 Florida State Board of Education, Lottery, FLOATS, Ser. PA-887-R, Rev., FRDO, FGIC, 1.21%, 03/14/02 5,920 6,225 Florida State Board of Education, Lottery, Ser. A, Rev., AMBAC, 4.25%, 07/01/02 6,253 5,000 Florida State Department of Environmental Protection and Preservation, Ser. II-R-23, Rev., FRDO, MBIA, 1.24%, 03/07/02 5,000 5,295 Florida State, FLOATS, Ser. PA-511, FRDO, 1.21%, 03/07/02 5,295 4,790 Gulf Breeze, Florida, Local Government Loan Program, Ser. B, Rev., FRDO, FGIC, 1.15%, 03/07/02 4,790 7,840 Hillsborough County Housing Finance Authority, Multifamily Housing, FLOATS, Ser. 1346, FRDO, 1.42%, 03/07/02 7,840 8,705 Jacksonville Electric Authority, Municipal Securities Trust Receipts, Ser. SGA-17, Rev., FRDO, 1.20%, 03/06/02 8,705 9,055 Jacksonville Electric Authority, Ser. II-R-119, Special Obligation, FRDO, 1.24%, 03/07/02 9,059 4,995 Jacksonville Electric Authority, Ser. II-R-120, Rev., FRDO, 1.24%, 03/07/02 4,999 1,000 Jacksonville Health Facilities Authority, River Garden Project, Rev., FRDO, 1.20%, 03/07/02 1,000 10,000 Jacksonville, Florida, Promissory Note, 1.30%, 04/01/02 10,000 20,000 Lakeland, Florida, Energy Systems, Ser. A, Rev., FRDO, 1.20%, 03/06/02 20,000
See notes to financial statements. 36 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Money Market Instruments -- Continued - --------------------------------------------------------------------------------------------------- FLORIDA -- CONTINUED $ 3,200 Miami Health Facilities Authority, Mercy Hospital Project, Rev., FRDO, 1.15%, 03/06/02 $ 3,200 15,500 Miami-Dade County School District, Rev., TAN, 3.50%, 06/27/02 15,539 6,000 Miami-Dade County, Floating Rate Trust Receipts, Miami Aviation, Ser. SG-141, FGIC, 1.21%, 03/07/02 6,000 2,995 Orange County Housing Finance Authority, Floating Rate Trust Receipts, Ser. N-6, Regulation D, Rev., FRDO, 1.25%, 03/06/02 2,995 3,340 Orange County Housing Finance Authority, FLOATS, Ser. PT-558, Rev., FRDO, 1.25%, 03/07/02 3,340 4,900 Orange County Housing Finance Authority, Multi-Family Housing, Regal Pointe Apartments, Ser. A, Rev., FRDO, 1.17%, 03/07/02 4,900 4,390 Orange County School Board, COP, Ser. B, FRDO, AMBAC, 1.25%, 03/01/02 4,390 9,800 Pinellas County, 1.30%, 04/04/02 9,800 3,000 St. Johns County IDA, Health Care, Glenmoor St. Johns Project, Ser. C, Rev., FRDO, 1.15%, 03/06/02 3,000 31,890 Sunshine State, 1.30%, 03/06/02 31,890 18,160 Sunshine State, 1.30%, 03/06/02 18,160 8,000 Tampa Sports Authority, Municipal Securities Trust Receipts, Ser. SGA-61, Rev., FRDO, MBIA, 1.35%, 03/01/02 8,000 7,200 University Athletic Association, Inc., Florida Capital Improvement, University of Florida Stadium Project, Rev., FRDO, 1.45%, 03/01/02 7,200 4,400 University of North Florida Foundation, Inc., Parking System, Rev., FRDO, 1.20%, 03/07/02 4,400 3,600 West Orange Healthcare District, Ser. B, Rev., FRDO, 1.15%, 03/07/02 3,600 -------------- 263,950 GEORGIA -- 2.7% 6,300 Atlanta Urban Residential Finance Authority, Multi-Family Housing, The Park at Lakewood, Rev., FRDO, 1.30%, 03/07/02 6,300 6,000 Atlanta, Georgia, FRDO, 1.24%, 03/07/02 6,000 960 Bibb County, Class A Certificates, Ser. C, FRDO, 1.25%, 03/07/02 960 7,160 Clayton County Housing Authority, Multi-Family Housing, Chateau Forest Apartments, Ser. E, Rev., FRDO, FSA, 1.15%, 03/06/02 7,160 12,850 De Kalb County Housing Authority, Multi- Family Housing, Robins Landing Project, Rev., FRDO, 1.25%, 03/07/02 12,850 900 Fulton County Development Authority, Arthritis Foundation, Inc. Project, Rev., FRDO, 1.20%, 03/06/02 900 1,925 Fulton County Development Authority, Morehouse College Project, Rev., FRDO, 1.20%, 03/06/02 1,925
See notes to financial statements. 37 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Money Market Instruments -- Continued - --------------------------------------------------------------------------------------------------- GEORGIA -- CONTINUED $ 57,202 Georgia Municipal Association, Inc., Pooled Bond, COP, FRDO, MBIA, 1.15%, 03/07/02 $ 57,202 43,350 Georgia State Road and Thruway Authority, Rev., BAN, 1.85%, 11/20/02 43,435 8,015 Georgia State, Floating Rate Certificates, Ser. 213, GO, FRDO, 1.22%, 03/07/02 8,015 2,100 Glynn-Brunswick Memorial Hospital Authority, Anticipation Certificates, Southeast Georgia Project, Rev., FRDO, MBIA, 1.10%, 03/06/02 2,100 4,770 Griffin-Spalding County Development Authority, Industrial Development, Norcom, Inc. Project, Rev., FRDO, 1.23%, 03/07/02 4,770 6,000 Gwinnett County Development Authority, Civic & Cultural Center Project, Rev., FRDO, 1.10%, 03/06/02 6,000 10,000 Gwinnett County Hospital Authority, Gwinnett Hospital Systems, Inc. Project, Rev., RAN, FRDO, 1.20%, 03/06/02 10,000 10,000 Metropolitan Atlanta Rapid Transportation Authority, Sales Tax, Ser. B, Rev., FRDO, 1.10%, 03/06/02 10,000 4,355 Metropolitan Atlanta Rapid Transportation Authority, Sales Tax, Ser. M, Rev., AMBAC, 6.15%, 07/01/02 4,389 2,000 Municipal Electric Authority of Georgia, MEAG Project One, Sub Ser. D, Rev., FRDO, MBIA, 1.10%, 03/06/02 2,000 13,400 Private Colleges & Universities Facilities Authority, Emory University, Ser. B, Rev., FRDO, 1.10%, 03/06/02 13,400 -------------- 197,406 HAWAII -- 0.6% 1,400 Hawaii State Housing Finance & Development Corp., Single Family Mortgage, FLOATS, Ser. PA-73A, Rev., 1.32%, 03/07/02 1,413 6,500 Hawaii State, Airport System, 3rd Ser., Rev., ^, AMBAC, 5.50%, 07/01/02 6,554 19,790 Hawaii State, Highway Revenue, FLOATS, Ser. PT-1058, Rev., FRDO, 1.21%, 03/07/02 19,790 5,605 Honolulu City & County, Ser. A, GO, ^, 6.30%, 03/01/02 5,846 1,000 Honolulu City & County, Ser. A, GO, FRDO, 1.10%, 03/06/02 1,000 5,150 Honolulu City & County, Ser. A, GO, FRDO, 1.10%, 03/06/02 5,150 6,000 Honolulu City & County, Ser. C, GO, FRDO, FGIC, 2.85%, 12/04/02 6,045 -------------- 45,798 IDAHO -- 0.3% 10,500 Idaho Housing & Finance Association, Single Family Mortgage, Ser. C, Class 1, Rev., FRDO, 1.25%, 03/06/02 10,500
See notes to financial statements. 38 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Money Market Instruments -- Continued - --------------------------------------------------------------------------------------------------- IDAHO -- CONTINUED $ 3,750 Idaho Housing & Finance Association, Single Family Mortgage, Ser. F-1, Class 1, Rev., FRDO, 1.25%, 03/06/02 $ 3,750 8,000 Idaho State, GO, TAN, 3.75%, 06/28/02 8,029 -------------- 22,279 ILLINOIS -- 6.8% 10,000 Chicago Board of Education, FLOATS, Ser. SG-103, FRDO, 1.21%, 03/06/02 10,000 34,950 Chicago Housing Authority, Capital Improvement Program, Floating Rate Trust Certificates, Ser. L-40, Regulation D, Rev., FRDO, 1.25%, 03/06/02 34,950 72,300 Chicago O'Hare International Airport, ACES, General Airport Second Lien, Ser. A, Rev., FRDO, 1.17%, 03/06/02 72,300 3,865 Chicago O'Hare International Airport, ACES, General Airport Second Lien, Ser. B, Rev., FRDO, 1.07%, 03/06/02 3,865 6,500 Chicago O'Hare International Airport, ACES, General Airport Second Lien, Ser. B, Rev., FRDO, 1.17%, 03/06/02 6,500 6,200 Chicago O'Hare International Airport, American Airlines, Ser. D, Rev., FRDO, 1.35%, 03/01/02 6,200 5,800 Chicago, Illinois, Equipment Notes, GO, FRDO, 2.10%, 10/02/02 5,800 19,790 Chicago, Illinois, GO, Tender Notes, FRDO, 1.75%, 12/05/02 19,790 6,500 Chicago, Illinois, GO, Tender Notes, FRDO, 1.90%, 03/06/02 6,500 5,000 Chicago, Illinois, IDR, Elston Block Co. Project, Rev., FRDO, 1.23%, 03/07/02 5,000 3,495 Chicago, Illinois, Midway Airport, Floating Rate Certificates, Ser. 440, Rev., FRDO, MBIA, 1.29%, 03/07/02 3,497 19,540 Chicago, Illinois, Midway Airport, Floating Rate Receipts, Ser. SG-97, Rev., FRDO, MBIA, 1.21%, 03/07/02 19,555 6,475 Chicago, Illinois, Multi-Family Housing, Barbara Jean Wright Apartments, Ser. A, Rev., FRDO, 1.23%, 03/07/02 6,475 20,000 Chicago, Illinois, Municipal Securities Trust Receipts, Ser. SGA-99, GO, FRDO, FGIC, 1.23%, 03/06/02 20,009 9,995 Chicago, Illinois, Single Family Mortgage, FLOATS, Ser. PT-555, Rev., FRDO, 1.28%, 03/07/02 9,995 8,570 Cook County Township High School District No. 211, Palatine-Schaumb, GO, 3.00%, 12/01/02 8,631 3,215 Cook County, Floating Rate Certificates, Ser. 403, GO, FRDO, FGIC, 1.22%, 03/07/02 3,217 3,885 Cook County, Municipal Trust Receipts, Ser. SG-7, FRDO, 1.25%, 03/07/02 3,885
See notes to financial statements. 39 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Money Market Instruments -- Continued - --------------------------------------------------------------------------------------------------- ILLINOIS -- CONTINUED $ 7,055 Franklin Park, Illinois, Municipal Securities Trust Receipts, Ser. SGB-14, GO, FRDO, AMBAC, 1.24%, 03/07/02 $ 7,055 17,900 Illinois Development Finance Authority, Chicago Symphony Orchestra, Ser. C, Rev., FRDO, 1.15%, 03/06/02 17,900 4,485 Illinois Development Finance Authority, IDR, CHS Acquisition Corp. Project, Rev., FRDO, 1.23%, 03/07/02 4,485 1,685 Illinois Development Finance Authority, IDR, Toughy LTD Partnership Project, Rev., FRDO, 1.23%, 03/06/02 1,685 8,000 Illinois Development Finance Authority, Local Government Financing Program, Ser. B, Rev., FRDO, AMBAC, 1.70%, 03/06/02 8,000 1,300 Illinois Development Finance Authority, Residential Rental, Rev., FRDO, 1.20%, 03/06/02 1,300 13,540 Illinois Educational Facilities Authority, University Pooled Financing Program, Rev., FRDO, FGIC, 1.15%, 03/06/02 13,540 4,600 Illinois Health Facilities Authority, Carle Foundation, Rev., FRDO, AMBAC, 1.15%, 03/06/02 4,600 10,730 Illinois Health Facilities Authority, Floating Rate Certificates, Ser. L-26, Regulation D, Rev., FRDO, 1.25%, 03/06/02 10,766 15,000 Illinois Health Facilities Authority, Herman M. Finch University of Health, Rev., FRDO, 1.20%, 03/06/02 15,000 9,145 Illinois Health Facilities Authority, St. Lukes Medical Center Obligation, Ser. B, Rev., FRDO, MBIA, 1.20%, 03/06/02 9,145 27,930 Illinois Health Facilities Authority, Swedish Covenant Hospital Project, Rev., FRDO, AMBAC, 1.20%, 03/06/02 27,930 7,600 Illinois Housing Development Authority, Multi-Family Housing, Camelot, Rev., FRDO, MBIA, 1.23%, 03/06/02 7,600 10,580 Illinois Housing Development Authority, Multi-Family Housing, Lakeshore Plaza, Ser. A, Rev., FRDO, MBIA, 1.15%, 03/06/02 10,580 3,730 Illinois Housing Development Authority, Single Family Housing, Floating Rate Trust Receipts, Ser. L-19, Regulation D, Rev., FRDO, 1.30%, 03/06/02 3,730 10,000 Illinois Regional Transportation Authority, FLOATS, Ser. SG-82, FRDO, 1.21%, 03/07/02 10,000 3,600 Illinois State Development Finance Authority, American Youth Hostels Project, Rev., FRDO, 1.20%, 03/07/02 3,600 3,005 Illinois State Development Finance Authority, IDR, CFC International, Inc. Project, Rev., FRDO, 1.23%, 03/07/02 3,005
See notes to financial statements. 40 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Money Market Instruments -- Continued - --------------------------------------------------------------------------------------------------- ILLINOIS -- CONTINUED $ 12,900 Illinois State Toll Highway Authority, Ser. B, Rev., FRDO, MBIA, 1.10%, 03/06/02 $ 12,900 8,000 Illinois State, 1st Ser., GO, 3.00%, 11/01/02 8,051 6,085 Illinois State, COP, ^, 6.95%, 07/01/02 6,310 3,000 Illinois State, Floating Rate Certificates, Ser. 257, GO, FRDO, 1.22%, 03/07/02 3,039 10,465 Illinois State, FLOATS, Ser. PT-379, FRDO, MBIA, 1.21%, 03/07/02 10,465 2,210 Illinois State, Health Facilities, 1.25%, 03/05/02 2,210 1,075 Illinois State, Municipal Securities Trust Receipts, Ser. SGA-103, GO, FRDO, 1.35%, 03/01/02 1,075 17,400 Illinois State, Promissory Note, 1.25%, 03/04/02 17,400 3,255 Illinois State, Sales Tax, Municipal Securities Trust Certificates, Ser. SG-9, Rev., 1.21%, 03/07/02 3,255 2,570 Lake County IDR, A.L. Hansen Manufacturing Co. Project, Rev., FRDO, 1.20%, 03/07/02 2,570 1,990 Libertyville, Illinois, Industrial Revenue, Libertyville Manor Project, Rev., FRDO, 1.30%, 03/07/02 1,990 3,100 Madison County Environmental Improvement, Shell Wood River Refining, Rev., FRDO, 1.40%, 03/01/02 3,100 9,600 University of Illinois, Health Services Facilities System, Ser. B, Rev., FRDO, 1.15%, 03/06/02 9,600 7,400 Will County Environmental Facilities, Exxon-Mobil Corp. Project, Rev., FRDO, 1.35%, 03/01/02 7,400 -------------- 495,455 INDIANA -- 2.6% 5,000 DeKalb County Economic Development, New Process Steel Project, Rev., FRDO, 1.35%, 03/07/02 5,000 19,960 Indiana Bond Bank, Floating Rate Trust Receipts, Ser. L37, Regulation D, Rev., FRDO, 1.35%, 03/06/02 19,960 4,995 Indiana Bond Bank, Ser-II-R-117, Rev., FRDO, 1.24%, 03/07/02 4,997 10,000 Indiana Health Facility Financing Authority, Ascension Health Credit Group, Ser. A-4, Rev., FRDO, 1.83%, 03/04/02 10,000 6,000 Indiana Health Facility Financing Authority, Ascension Health Credit, Ser. A-1, Rev., FRDO, 1.55%, 06/04/02 6,000 1,900 Indiana Health Facility Financing Authority, Ascension Health Credit, Ser. B, Rev., FRDO, 1.25%, 03/06/02 1,900 5,300 Indiana Health Facility Financing Authority, Community Hospitals Project, Ser. A, Rev., FRDO, 1.20%, 03/05/02 5,300 1,100 Indiana Secondary Market Educational Loans, Inc., Ser. B, Rev., FRDO, AMBAC, 1.20%, 03/06/02 1,100 6,665 Indiana State Office Building Commission, Capital Complex, FLOATS, Ser. PT-381, Rev., FRDO, 1.21%, 03/07/02 6,665 45,000 Indiana State, Promissory Note, 1.35%, 06/12/02 45,000
See notes to financial statements. 41 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Money Market Instruments -- Continued - --------------------------------------------------------------------------------------------------- INDIANA -- CONTINUED $ 13,000 Indiana Transportation Finance Authority, Municipal Securities Trust Receipts, Ser. SGA-113, Rev., FRDO, 1.35%, 03/01/02 $ 13,000 6,240 Indiana Transportation Finance Authority, Ser. II-R-118, Rev., FRDO, 1.24%, 03/07/02 6,245 8,850 Indianapolis Airport Authority, Floating Rate Trust Receipts, Ser. C-7, Regulation D, Rev., FRDO, 1.40%, 03/06/02 8,850 9,995 Indianapolis Local Public Improvement Bond Bank, FLOATS, Ser. PT-382, Rev., FRDO, 1.21%, 03/07/02 9,995 18,160 Indianapolis, Indiana, Resource Recovery, Tender-Ogden Martin Systems, Rev., FRDO, 1.45%, 03/01/02 18,160 720 Lafayette, Indiana, Economic Development, Health Quest Realty XI Project, Rev., FRDO, 1.22%, 03/07/02 720 10,900 Monroe County Hospital Authority, Rev., FRDO, MBIA, 1.15%, 03/06/02 10,900 410 Muncie, Indiana, Economic Development, Health Quest Realty Project, Rev., FRDO, 1.22%, 03/07/02 410 2,000 Pike Township School Building Corp., First Mortgage, Rev., FGIC, 4.50%, 07/15/02 2,013 6,585 Purdue University, FLOATS, Ser. PA-760, Rev., FRDO, 1.21%, 03/07/02 6,585 6,000 Whiting, Indiana, Environmental Facilities, Amoco Oil Co. Project, Rev., FRDO, 1.40%, 03/01/02 6,000 -------------- 188,800 IOWA -- 0.5% 3,900 Des Moines, Iowa, 2.55%, 04/15/02 3,900 1,500 Des Moines, Iowa, Ser. A, 2.50%, 04/15/02 1,500 1,000 Des Moines, Iowa, Ser. A, 3.55%, 04/15/02 1,000 14,280 Iowa Finance Authority, Iowa State Revolving Fund, Rev., 4.00%, 08/01/02 14,417 13,000 Iowa State, GO, TRAN, 3.00%, 06/27/02 13,048 -------------- 33,865 KANSAS -- 2.1% 43,100 Burlington, Kansas, PCR, Floating Rate Trust Receipts, Ser. 2002, Class L-3, Rev., FRDO, MBIA, 1.25%, 03/06/02 43,100 19,100 Kansas State Department of Transportation, Ser. B-1, Rev., FRDO, 1.40%, 03/01/02 19,100 1,400 Kansas State Department of Transportation, Ser. B-2, Rev., FRDO, 1.40%, 03/01/02 1,400 20,000 Kansas State Department of Transportation, Ser. C-1, Rev., FRDO, 1.15%, 03/06/02 20,000 15,000 Kansas State Department of Transportation, Ser. C-2, Rev., FRDO, 1.15%, 03/06/02 15,000 9,780 Overland Park, Kansas, Floating Rate Receipts, Ser. SG-155, FRDO, 1.21%, 03/07/02 9,780 1,700 Wichita, Kansas, Hospital Facilities Improvement, Riverside, Ser. IV, Rev., FRDO, 1.25%, 03/07/02 1,700
See notes to financial statements. 42 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Money Market Instruments -- Continued - --------------------------------------------------------------------------------------------------- KANSAS -- CONTINUED $ 43,355 Wichita, Kansas, Renewal & Improvement, Temporary Notes-205, GO, 2.50%, 08/22/02 $ 43,589 -------------- 153,669 KENTUCKY -- 0.8% 2,900 Jeffersontown, Kentucky, Lease Program, Kentucky League of Cities Funding Trust, Rev., FRDO, 1.20%, 03/06/02 2,900 37,500 Kentucky Asset Liability Commission, Ser. B, Rev., TRAN, FRDO, 1.25%, 03/07/02 37,500 2,440 Kentucky Development Finance Authority, Pooled Loan Project, Ser. A, Rev., FRDO, FGIC, 1.15%, 03/07/02 2,440 4,025 Kentucky Higher Education Student Loan Corp., FLOATS, Ser. PT-441, Rev., FRDO, 1.32%, 03/07/02 4,025 3,000 Kentucky Interlocal School Transportation Association, COP, TRAN, 3.75%, 06/28/02 3,010 7,020 Kentucky State Property & Buildings Commission, FLOATS, Ser. PA-875, Rev., FRDO, 1.21%, 03/07/02 7,020 5,060 Mayfield, Kentucky, League of Cities Funding Trust, Rev., FRDO, 1.25%, 03/06/02 5,060 -------------- 61,955 LOUISIANA -- 1.4% 6,350 Calcasieu Parish IDB, Olin Corp. Project, Ser. B, Rev., FRDO, 1.40%, 03/01/02 6,350 5,650 East Baton Rouge Parish, Solid Waste Disposal Authority, Exxon-Mobile Corp. Project, Rev., FRDO, 1.35%, 03/01/02 5,650 2,425 Iberia Parish IDB, Cuming Insulation Corp. Project, Rev., FRDO, 1.28%, 03/07/02 2,425 3,995 Jefferson Parish Home Mortgage Authority, Single Family Mortgage, FLOATS, Ser. PT-492, Rev., FRDO, 1.32%, 03/07/02 3,995 3,000 Lake Charles Harbor & Terminal District, Dock & Wharf, Conoco, Inc. Project, Rev., FRDO, 1.25%, 03/06/02 3,000 1,855 Louisiana Housing Finance Agency, Floating Rate Trust Receipts, Ser. A-52, Regulation D, Rev., FRDO, 1.30%, 03/06/02 1,855 2,650 Louisiana Offshore Term Authority, Deepwater Port, 1st Stage, Loop, Inc., ACES, Rev., FRDO, 1.30%, 03/01/02 2,650 26,435 Louisiana Public Facilities Authority, 1.25%, 03/26/02 26,435 13,850 Louisiana Public Facilities Authority, Industrial Development, Kenner Hotel, Rev., FRDO, 1.30%, 03/01/02 13,850 9,995 Louisiana Public Facilities Authority, LSU Alumni Association Project, Rev., FRDO, 1.19%, 03/07/02 9,995 11,170 Louisiana State, Floating Rate Trust Receipts, Ser. 217, GO, FRDO, MBIA, 1.22%, 03/07/02 11,170
See notes to financial statements. 43 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Money Market Instruments -- Continued - --------------------------------------------------------------------------------------------------- LOUISIANA -- CONTINUED $ 4,310 Lousiana State, Ser. A, GO, MBIA, ^, 6.40%, ` 05/01/02 $ 4,422 8,000 Plaquemines Port Harbor & Terminal District, Port Facilities, International Marine Terminal Project, Ser. B, Rev., FRDO, 3.24%, 03/15/02 8,003 4,000 South Louisiana Port Commission, Marine Terminal Facilities, Occidental Petroleum, Rev., FRDO, 1.15%, 03/06/02 4,000 -------------- 103,800 MAINE -- 0.1% 1,500 Maine State Housing Authority, Ser. D-1, Rev., FRDO, 2.70%, 07/31/02 1,500 2,500 Maine State Housing Authority, Ser. D-2, Rev., FRDO, 2.75%, 07/21/02 2,500 3,000 Maine State, GO, 5.50%, 06/15/02 3,025 -------------- 7,025 MARYLAND -- 1.3% 5,720 Baltimore County, Oak Crest Village, Inc. Project, Ser. A, Rev., FRDO, 1.20%, 03/07/02 5,720 22,800 Baltimore, Maryland, Promissory Note, 1.25%, 03/01/02 22,800 8,605 Howard County Multi-Family Housing, Sherwood Crossing LTD, Rev., FRDO, 3.85%, 06/01/02 8,605 13,000 Maryland Community Development Administration, Department of Housing & Community Development, Multi-Family Housing, Residential, Ser. C, Rev., 1.65%, 12/19/02 13,000 3,000 Maryland Community Development Administration, Department of Housing and Community Development, Multi-Family Housing, Parklane Apartments, Rev., FRDO, 1.25%, 03/06/02 3,000 500 Maryland Community Development Administration, Department of Multi-Family Development, Multi- Family Housing, Avalon Ridge Apartments Project, Rev., FRDO, 1.10%, 03/06/02 500 5,180 Maryland State Department of Transportation, County Transportation, FLOATS, Ser. PA-867, Rev., FRDO, 1.21%, 03/07/02 5,180 2,550 Maryland State Health & Higher Educational Facilities Authority, Loyola College Issue, Ser. B, Rev., FRDO, MBIA, 1.35%, 03/07/02 2,550 4,905 Maryland State Stadium Authority, Sports Facilities Lease, Rev., FRDO, 1.25%, 03/06/02 4,905 8,185 Maryland State, FLOATS, Ser. PA-858, GO, FRDO, 1.18%, 03/07/02 8,185 16,800 Montgomery County Housing Opportunities Commission, Multi-Family Housing, Grosvenor, Ser. A, Rev., FRDO, 1.01%, 03/06/02 16,800 4,995 Montgomery County, FLOATS, Ser. PA-713, GO, FRDO, 1.21%, 03/07/02 4,998
See notes to financial statements. 44 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Money Market Instruments -- Continued - --------------------------------------------------------------------------------------------------- MARYLAND -- CONTINUED $ 1,600 Northeast Waste Disposal Authority, Resource Recovery, Harford County Resources, Rev., FRDO, AMBAC, 1.00%, 03/06/02 $ 1,600 -------------- 97,843 MASSACHUSETTS -- 2.2% 19,000 Ashburnham & Westminister Regional School District, GO, BAN, 3.00%, 06/20/02 19,025 25,900 Everett, Massachusetts, GO, BAN, 3.25%, 09/12/02 26,022 9,300 Fall River, Massachusetts, GO, BAN, 3.00%, 02/05/03 9,411 10,000 Greater New Bedford Regional Vocational Technical High School District, GO, BAN, 3.50%, 05/31/02 10,015 3,050 Lee, Massachusetts, GO, BAN, LOT B, 2.15%, 10/17/02 3,056 32,600 Massachusetts Bay Transportation Authority, Floating Rate Trust Receipts, Ser. SG-156, FRDO, 1.50%, 03/01/02 32,600 5,750 Massachusetts Bay Transportation Authority, Municipal Securities Trust Receipts, Special Assessment, Ser. SGA-123, FRDO, 1.20%, 03/06/02 5,750 5,000 Massachusetts Development Financing Agency, Bridge Issue, Rev., FRDO, 1.05%, 03/06/02 5,000 6,495 Massachusetts Housing Finance Agency, FLOATS, Ser. PA-845, 2.62%, 03/07/02 6,495 3,300 Massachusetts State Health & Educational Facilities Authority, Municipal Securities Trust Receipts, Ser. SGA-97, Rev., FRDO, 1.35%, 03/01/02 3,301 2,000 Massachusetts State Health & Educational Facilities Authority, New England, Ser. D, Rev., ^, AMBAC, 6.63%, 04/01/02 2,046 8,705 Massachusetts State Port Authority, Municipal Securities Trust Receipts, Ser. SGA-64, Rev., FRDO, 1.25%, 03/06/02 8,711 6,840 Massachusetts State Turnpike Authority, Metropolitan Highway System, FLOATS, Ser. PA-672, Rev., FRDO, MBIA, 2.80%, 03/07/02 6,840 5,100 Massachusetts State, Water Pollution Abatement Trust, Municipal Securities Trust Receipts, Ser. SGA-87, Rev., FRDO, 1.35%, 03/01/02 5,100 5,000 New Bedford, Massachusetts, GO, BAN, 2.25%, 02/27/03 5,026 12,445 New England Education Loan Marketing Corp., Student Loan, Issue A, Rev., FRDO, 5.80%, 03/01/02 12,445 -------------- 160,843 MICHIGAN -- 2.9% 6,000 Detroit Economic Development Corp., Resource Recovery, Ser. A, Rev., AMBAC, 2.59%, 05/01/02 6,000 5,800 Detroit, Michigan, Sewer Disposal, FLOATS, Ser. PT-602, FRDO, Rev., 1.21%, 03/06/02 5,800 10,000 Detroit, Michigan, Sewer Disposal, Second Lien, Ser. E, Rev., FRDO, FGIC, 2.12%, 10/23/02 10,000
See notes to financial statements. 45 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Money Market Instruments -- Continued - --------------------------------------------------------------------------------------------------- MICHIGAN -- CONTINUED $ 5,500 Kent Hospital Financing Authority, Spectrum Health, Ser. B, Rev., FRDO, MBIA, 1.15%, 03/06/02 $ 5,500 9,000 Michigan Higher Education Student Loan Authority, Ser. XII-F, Rev., FRDO, AMBAC, 1.20%, 03/06/02 9,000 8,220 Michigan Municipal Bond Authority, FLOATS, Ser. PA-942, Rev., FRDO, 1.21%, 03/07/02 8,220 5,705 Michigan Municipal Bond Authority, FLOATS, Ser. PT-397, Rev., FRDO, 1.21%, 03/07/02 5,705 5,000 Michigan Municipal Bond Authority, Ser. B-1, Rev., 3.50%, 07/01/02 5,014 30,000 Michigan Municipal Bond Authority, Ser. C-1, Rev., 3.50%, 08/22/02 30,128 7,700 Michigan State Housing Development Authority, Multi-Family Housing, River Place Apartments, Rev., FRDO, 1.23%, 03/06/02 7,700 6,000 Michigan State Housing Development Authority, Ser. 1999-B2, Rev., FRDO, MBIA, 1.25%, 03/06/02 6,000 825 Michigan State Housing Development Authority, Ser. 2000-A, Rev., FRDO, MBIA, 1.15%, 03/06/02 825 9,300 Michigan State University, Floating Rate Trust Receipt, Ser. A-2, Rev., FRDO, 1.05%, 03/06/02 9,300 15,000 Michigan State University, Rev., 2.15%, 10/02/02 15,000 5,055 Michigan State University, Ser. A, Rev., FRDO, 1.05%, 03/06/02 5,055 11,895 Michigan State, Building Authority, Floating Rate Certificates, Ser. 307, Rev., ^, 1.22%, 10/01/02 12,004 3,600 Michigan State, GO, 2.10%, 10/02/02 3,600 10,500 Michigan State, Ser. A, Rev., GAN, FRDO, FSA, 1.10%, 03/06/02 10,500 11,800 Michigan State, Ser. B, GO, GAN, FRDO, FSA, 1.10%, 03/06/02 11,800 1,175 Michigan Strategic Fund, Wayne Disposal, Oakland Project, Rev., FRDO, 1.30%, 03/06/02 1,175 10,000 Oakland University, Rev., FRDO, FGIC, 1.15%, 03/06/02 10,000 300 University of Michigan, Hospital, Ser. A, Rev., FRDO, 1.35%, 03/01/02 300 6,600 University of Michigan, Hospital, Ser. A-2, Rev., FRDO, 1.35%, 03/01/02 6,600 24,300 Wayne Charter County, Airport, Junior Lien, Detroit Metropolitan, Rev., FRDO, FSA, 1.23%, 03/07/02 24,300 -------------- 209,526 MINNESOTA -- 1.0% 9,000 Minneapolis & St. Paul Metropolitan Airports Commission, Municipal Securities Trust Receipts, Ser. SGA-127, Rev., FRDO, FGIC, 1.23%, 03/06/02 9,006 10,000 Minnesota Housing Finance Agency, Residential Housing Financing, Ser. C, Rev., FRDO, 1.90%, 12/04/02 10,000 2,000 Minnesota Public Facilities Authority, PCR, Water, Rev., Ser. A, ^, 6.50%, 03/01/02 2,040
See notes to financial statements. 46 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Money Market Instruments -- Continued - --------------------------------------------------------------------------------------------------- MINNESOTA -- CONTINUED $ 2,700 Minnesota Public Facilities Authority, PCR, Water, Ser. II-TR-1, Rev., FRDO, 1.24%, 03/07/02 $ 2,700 15,000 Rochester, Minnesota, Promissory Note, 1.30%, 03/05/02 15,000 13,500 Rochester, Minnesota, Promissory Note, 1.30%, 05/23/02 13,500 2,970 Shakopee Independent School District No. 720, Anticipation Certificates Indebture, GO, 2.50%, 09/27/02 2,983 4,300 St. Louis Park, Minnesota, Catholic Finance Corp., Rev., FRDO, 1.35%, 03/07/02 4,300 14,550 University of Minnesota, Ser. C, Rev., FRDO, 1.10%, 03/06/02 14,550 -------------- 74,079 MISSISSIPPI -- 0.2% 2,800 Jackson County PCR, Chevron USA, Inc. Project, Rev., FRDO, 1.25%, 03/01/02 2,800 6,700 Jackson County Port Facilities Revenue, Chevron USA, Inc. Project, Rev., FRDO, 1.30%, 03/01/02 6,700 2,340 Mississippi Business Finance Corp., IDR, Choctaw Maid Farms, Inc. Project, Rev., FRDO, 1.30%, 03/06/02 2,340 5,795 Mississippi Home Corp., Single Family Housing, Class A Certificates, Ser. I, Rev., FRDO, 1.28%, 03/07/02 5,795 -------------- 17,635 MISSOURI -- 1.1% 7,100 Independence IDA, Multi-Family Housing, FLOATS, Ser. PT-314, Rev., FRDO, 1.21%, 03/07/02 7,100 3,275 Kansas City IDA, Livers Bronze Co. Project, Rev., FRDO, 1.35%, 03/07/02 3,275 3,700 Missouri Development Finance Board, Infrastructure Facilities, Ser. A, Rev., BAN, 2.30%, 04/01/02 3,700 3,000 Missouri Higher Education Loan Authority, Student Loan, Ser. B, Rev., FRDO, 1.20%, 03/06/02 3,000 1,600 Missouri Higher Education Loan Authority, Student Loan, Ser. B, Rev., FRDO, 1.35%, 03/06/02 1,600 5,295 Missouri Housing Development Commission, FLOATS, Ser. PT-1286, Rev., FRDO, 2.73%, 07/03/02 5,295 3,375 Missouri State Development Finance Board, Recreational Facilities, Greater St. Louis YMCA Project, Ser. B, Rev., FRDO, 1.20%, 03/07/02 3,375 1,600 Missouri State Environmental Improvement & Energy Resources Authority, Bayer Corp. Project, Rev., FRDO, MBIA, 1.40%, 03/01/02 1,600 23,000 Missouri State Health & Educational Facilities Authority, Assemblies of God College, Rev., FRDO, 1.20%, 03/07/02 23,000 5,000 Missouri State Health & Educational Facilities Authority, Cape Girardeau School District, Ser. D, Rev., 3.00%, 10/21/02 5,024
See notes to financial statements. 47 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Money Market Instruments -- Continued - --------------------------------------------------------------------------------------------------- MISSOURI -- CONTINUED $ 4,100 Missouri State Health & Educational Facilities Authority, Hickman Mills School District, Ser. H, 3.00%, 10/21/02 $ 4,119 3,875 Missouri State Housing Development Commission, Floating Rate Trust Receipts, Ser. A-64, Regulation D, Rev., FRDO, 1.30%, 03/06/02 3,884 7,390 Missouri State Housing Development Commission, FLOATS, Ser. PT-223, Rev., FRDO, 1.28%, 03/07/02 7,420 8,130 St. Louis, Missouri, Airport, Rev., ^, FGIC, 6.00%, 07/01/02 8,378 -------------- 80,770 MONTANA -- 0.0% 3,365 Montana Board of Housing, FLOATS, Ser. PT-356, FRDO, 1.32%, 03/07/02 3,365 MULTIPLE STATES -- 9.3% 17,676 ABN AMRO Munitops Certificate Trust, Ser. 1998, Class 16, FRDO, MBIA, 1.22%, 03/06/02 17,676 31,495 ABN AMRO Munitops Certificate Trust, Ser. 1999, Class 6, FRDO, #, 1.22%, 03/06/02 31,495 10,000 ABN AMRO Munitops Certificate Trust, Ser. 1999, Class 9, FRDO, #, 1.22%, 03/06/02 10,000 16,610 ABN AMRO Munitops Certificate Trust, Ser. 2000, Class 4, Rev., FRDO, FGIC, #, 2.60%, 03/06/02 16,610 13,280 ABN AMRO Munitops Certificate Trust, Ser. 2000, Class 10, FRDO, MBIA, 1.22%, 03/06/02 13,280 14,990 ABN AMRO Munitops Certificate Trust, Ser. 2000, Class 11, FRDO, 1.28%, 03/06/02 14,990 16,685 ABN-AMRO Munitops Certificate Trust, Ser. 2000, Class 13, FRDO, 2.80%, 03/06/02 16,685 30,795 ABN AMRO Munitops Certificate Trust, Ser. 2000, Class 16, GO, FRDO, FGIC, 1.60%, 04/25/02 30,795 5,000 ABN AMRO Munitops Certificate Trust, Ser. 2001, Class 1, GO, FRDO, MBIA, 1.22%, 03/06/02 5,000 9,850 ABN AMRO Munitops Certificate Trust, Ser. 2001, Class 10, GO, FRDO, MBIA, 1.65%, 11/25/02 9,850 8,000 ABN AMRO Munitops Certificate Trust, Ser. 2001, Class 26, GO, FRDO, 2.70%, 05/15/02 8,000 10,985 ABN AMRO Munitops Certificate Trust, Ser. 2001, Class 27, Rev., FRDO, FSA, 1.31%, 03/06/02 10,985 15,010 ABN AMRO Munitops Certificate Trust, Ser. 2001-21, GO, FRDO, MBIA, 1.22%, 03/06/02 15,010 9,995 ABN AMRO Munitops Certificate Trust, Ser. 2002, Class 3, Rev., FRDO, 1.31%, 03/06/02 9,995 10,000 Charter Mac Floater Certificate Trust I, Ser. NAT-2, Rev., FRDO, MBIA, 1.34%, 03/07/02 10,000 42,500 Charter Mac Floating Rate Certificate Trust I, Ser. NAT-1, FRDO, MBIA, 1.34%, 03/07/02 42,500 13,775 Clipper Tax Exempt Trust, COP, Ser. 2002, Class 1, FRN, 1.34%, 03/07/02 13,775 5,514 Clipper Tax-Exempt Trust, COP, Ser. 1999, Class 2, FRDO, 1.44%, 03/07/02 5,514
See notes to financial statements. 48 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Money Market Instruments -- Continued - --------------------------------------------------------------------------------------------------- MULTIPLE STATES -- CONTINUED $ 5,000 Eagle Tax Exempt Trust, Weekly Option Mode, Class A, #, 1.24%, 03/07/02 $ 5,000 2,000 Eagle Tax-Exempt Trust, Weekly Option Mode, Ser. 2000-1601, FRDO, 1.24%, 03/07/02 2,000 35,845 IBM Lease, FLOATS, Ser. PL-9, Ser. 2001-A, FRDO, 1.39%, 03/07/02 35,845 3,900 IBM Tax Exempt Grantor Trust, IBM Project, FLOATS, Weekly Receipt, 1.39%, 03/07/02 3,900 35,275 IBM Tax Exempt Trust, IBM Project, FLOATS, Ser. 2001, Class D, Rev., FRDO, 1.39%, 03/07/02 35,275 29,212 Koch Floating Rate Trust, Weekly Certificates, Ser. 1, Rev., FRDO, 1.44%, 03/07/02 29,212 67,980 MBIA Capital Corp., FLOATS, FRDO, 1.34%, 03/07/02 67,980 140,000 Puttable Floating Option Tax-Exempt Receipts, FLOATS, Ser. SGP-12, FRDO, 1.39%, 03/07/02 140,000 33,700 Puttable Floating Option Tax-Exempt Receipts, Mode B, Ser. SGP-13, FRDO, 1.39%, 03/07/02 33,700 46,455 Puttable Floating Option Tax-Exempt Receipts, SunAmerica Trust, PUTTERS, Ser. 2001-2, Class A Certificates, 1.32%, 03/07/02 46,455 -------------- 681,527 NEBRASKA -- 0.3% 3,285 NEBHELP, Inc., Nebraska, Student Loan, Ser. E, Rev., FRDO, MBIA, 1.20%, 03/06/02 3,285 8,600 Nebraska Investment Finance Authority, Floating Rate Trust Receipts, Single Family Housing, Ser. N-7, Regulation D, Rev., FRDO, 1.30%, 03/06/02 8,600 5,500 Nebraska Investment Finance Authority, Single Family Housing, Floating Rate Trust Receipts, Ser. 2002-L-1, Rev., FRDO, 1.30%, 03/06/02 5,500 1,200 Sidney, Nebraska, IDR, Pennington Seed, Inc. Project, Rev., FRDO, 1.30%, 03/06/02 1,200 -------------- 18,585 NEVADA -- 2.1% 10,100 Clark County Improvement District, Local Improvement, Special Improvement, Special Assessment, Ser. 128-A, FRDO, 1.40%, 03/01/02 10,100 15,000 Clark County School District, FRDO, 1.24%, 03/07/02 15,000 14,900 Clark County School District, Ser. A, GO, FRDO, FSA, 1.25%, 03/01/02 14,900 38,600 Clark County, Airport, Sub Lien, Ser. A, Rev., FRDO, FGIC, 1.45%, 03/01/02 38,600 5,300 Clark County, IDR, Nevada Cogeneration Association #2, Rev., FRDO, 1.45%, 03/01/02 5,300 3,000 Las Vegas, Nevada, GO, ^, FGIC, 6.60%, 04/01/02 3,068 14,900 Nevada Housing Division, Multi-Family Housing, Park Vista Apartments, Ser. A, Rev., FRDO, 1.15%, 03/06/02 14,900 3,390 Nevada Housing Division, Multi-Unit Housing, Horizon, Ser. A, Rev., FRDO, 1.35%, 03/07/02 3,390
See notes to financial statements. 49 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Money Market Instruments -- Continued - --------------------------------------------------------------------------------------------------- NEVADA -- CONTINUED $ 6,250 Nevada Housing Division, Multi-Unit Housing, Joshua Villas, Ser. E, Rev., FRDO, 1.35%, 03/07/02 $ 6,250 5,455 Nevada Housing Division, Multi-Unit Housing, Judith Villas, Ser. C, Rev., FRDO, 1.35%, 03/07/02 5,455 6,750 Nevada Housing Division, Multi-Unit Housing, Ser. A, Rev., FRDO, 1.35%, 03/07/02 6,750 3,195 Nevada Housing Division, Multi-Unit Housing, Ser. M, Rev., FRDO, 1.35%, 03/07/02 3,195 13,305 Nevada Housing Division, Single-Family Mortgage, Ser. 6, Rev., 2.15%, 04/01/02 13,305 9,000 Nevada State, FLOATS, Ser. SG-39, FRDO, 1.21%, 03/07/02 9,000 5,800 Truckee Meadows Water Authority, Municipal Securities Trust Receipts, Ser. SGA-137, Rev., FRDO, FSA, 1.35%, 03/01/02 5,800 -------------- 155,013 NEW HAMPSHIRE -- 0.1% 3,675 New Hampshire Housing Finance Authority, Floating Rate Trust Receipt, Ser. A-70, Regulation D, Rev., FRDO, 1.30%, 03/06/02 3,675 1,370 New Hampshire Housing Finance Authority, Single Family Housing, FLOATS, Ser. PT-115, Rev., 1.32%, 03/07/02 1,370 -------------- 5,045 NEW JERSEY -- 1.6% 7,000 Essex County, Improvement Authority, GO, BAN, 3.25%, 08/08/02 7,016 4,985 New Jersey Economic Development Authority, FLOATS, Ser. PA-828, Rev., AMBAC, 2.65%, 03/02/02 4,985 2,500 New Jersey Economic Development Authority, Natural Gas Facilities, NUI Corp. Project, Ser. A, Rev., FRDO, AMBAC, 1.30%, 03/01/02 2,500 10,200 New Jersey Economic Development Authority, Natural Gas Facilities, Ser. A, Rev., FRDO, AMBAC, 1.30%, 03/01/02 10,200 4,995 New Jersey Economic Development Authority, Ser. A, GO, FRDO, AMBAC, 1.70%, 03/07/02 4,995 1,470 New Jersey Sports & Exposition Authority, State Contract, Ser. C, Rev., FRDO, MBIA, 1.00%, 03/07/02 1,470 6,300 New Jersey State Housing & Mortgage Finance Agency, FLOATS, Ser. PT-118, Rev., 1.11%, 03/07/02 6,300 30,000 New Jersey State Transportation, 1.25%, 03/07/02 30,000 11,950 New Jersey State, Ser. C, Rev., TRAN, 3.00%, 06/14/02 11,985 8,800 New Jersey, Promissory Note, 1.20%, 05/01/02 8,800 20,000 New Jersey, Promissory Note, 1.25%, 03/05/02 20,000 6,000 New Jersey, Promissory Note, 1.25%, 04/08/02 6,000 5,200 Passaic County, GO, BAN, 3.50%, 03/29/02 5,201 -------------- 119,452 NEW MEXICO -- 1.2% 6,155 Albuquerque Municipal School District No. 012, GO, 4.00%, 08/01/02 6,191
See notes to financial statements. 50 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Money Market Instruments -- Continued - --------------------------------------------------------------------------------------------------- NEW MEXICO -- CONTINUED $ 3,200 Chaves County, IDR, Ser. A, Rev., FRDO, 1.35%, 03/07/02 $ 3,200 300 Farmington, New Mexico, PCR, Arizona Public Services Co., Ser. A, Rev., FRDO, 1.30%, 03/01/02 300 5,375 New Mexico Educational Assistance Foundation, Student Loan, Ser. IV-A1, Rev., 6.30%, 03/01/02 5,375 6,400 New Mexico Finance Authority, Administrative Fee, Ser. A, Rev., FRDO, 1.20%, 03/06/02 6,400 48,290 New Mexico Mortgage Finance Authority, FLOATS, Ser. PT-593, FRDO, FGIC, 1.24%, 03/07/02 48,290 16,000 New Mexico State, GO, TRAN, 3.00%, 06/28/02 16,073 -------------- 85,829 NEW YORK -- 2.3% 845 Eagle Tax-Exempt Trust, Weekly Option Mode, Ser. 96C-4901, Class A, #, FRDO, 1.26%, 03/07/02 845 1,980 Long Island Power Authority, Electric Systems, Ser. 7, Sub Ser. 7-A, Rev., FRDO, MBIA, 1.00%, 03/06/02 1,980 1,520 Monroe County Airport Authority, FLOATS, Ser. PA-585, Rev., FRDO, 1.13%, 03/07/02 1,520 7,565 New York City IDA, Civic Facilities, Municipal Securities Trust Receipts, Ser. SGA-110, Rev., FRDO, 1.12%, 03/06/02 7,567 2,000 New York City Municipal Water Finance Authority, Water & Sewer Systems, Municipal Securities Trust Receipts, Ser. SGB-27, Rev., FRDO, FSA, 1.02%, 03/07/02 2,000 500 New York City Municipal Water Finance Authority, Water & Sewer Systems, Ser. A, Rev., FRDO, FGIC, 1.25%, 03/01/02 500 25,000 New York City Transitional Finance Authority, Ser. 3, Rev., BAN, 2.75%, 11/13/02 25,055 20,000 New York City, New York, Ser. A, GO, RAN, 3.00%, 04/12/02 20,024 800 New York City, New York, Ser. B-2, Sub Ser. B-5, GO, FRDO, MBIA, 1.25%, 03/01/02 800 900 New York City, New York, Ser. H, Sub Ser. H-3, GO, FRDO, FSA, 1.25%, 03/01/02 900 2,300 New York City, New York, Sub Ser. A-4, GO, FRDO, 1.25%, 03/01/02 2,300 1,600 New York City, New York, Sub Ser. A-5, GO, FRDO, 1.30%, 03/01/02 1,600 8,140 New York State Dorm Authority, FLOATS, Ser. PT-407, Rev., FRDO, AMBAC, 1.50%, 05/15/02 8,140 1,300 New York State Medical Care Facilities Finance Agency, FLOATS, Ser. PA-113, Rev., FRDO, 1.04%, 03/07/02 1,300 13,090 Port Authority of New York & New Jersey, Rev., FRDO, 1.66%, 03/05/02 13,090 15,000 Rochester Health Facilities, Mayo Clinic, 1.25%, 04/02/02 15,000
See notes to financial statements. 51 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Money Market Instruments -- Continued - --------------------------------------------------------------------------------------------------- NEW YORK -- CONTINUED $ 45,600 Triborough Bridge & Tunnel Authority, Floating Rate Trust Receipts, Ser. N-17, Regulation D, Rev., FRDO, 1.05%, 03/06/02 $ 45,600 19,630 Tsasc, Inc., FLOATS, Ser. PA-797, Rev., FRDO, 1.24%, 03/07/02 19,631 -------------- 167,852 NORTH CAROLINA -- 1.1% 1,700 Durham, North Carolina, Water and Sewer Utility Systems, Rev., FRDO, 1.20%, 03/06/02 1,700 20,190 Greensboro, North Carolina, Enterprise Systems, Ser. B, Rev., FRDO, 1.15%, 03/06/02 20,190 700 Guilford County Industrial Facilities & PCFA, Neal Manufacturing, Inc., Rev., FRDO, 1.30%, 03/07/02 700 7,000 North Carolina Educational Facilities Finance Agency, Bowman Gray School Project, Rev., FRDO, 1.07%, 03/06/02 7,000 9,660 North Carolina Educational Facilities Finance Agency, Ellon College, Rev., FRDO, 1.15%, 03/06/02 9,660 1,700 North Carolina Educational Facilities Financing Agency, Greensboro College, Rev., FRDO, 1.15%, 03/06/02 1,700 4,515 North Carolina Housing Finance Agency, Home Ownership, Ser. 12-E, Rev., 1.70%, 05/01/02 4,515 3,000 North Carolina Medical Care Commission, Health Systems, Catholic Health East, Ser. D, Rev., FRDO, AMBAC, 1.07%, 03/06/02 3,000 3,000 North Carolina Medical Care Commission, Lincoln Health Systems Project, Ser. A, Rev., FRDO, 1.20%, 03/07/02 3,000 25,050 North Carolina State, Ser. 14, GO, FRDO, 1.24%, 03/07/02 25,081 1,300 Raleigh-Durham Airport Authority, Special Facilities, American Airlines, Inc., Ser. A, Rev., FRDO, 1.35%, 03/01/02 1,300 5,700 University of North Carolina at Chapel Hill, University of North Carolina Hospital, Ser. B, Rev., FRDO, 1.30%, 03/01/02 5,700 -------------- 83,546 NORTH DAKOTA -- 0.2% 4,000 Grand Forks, North Dakota, Health Care Facilities, United Hospital Obligation Group, Ser. A, Rev., FRDO, 1.40%, 03/01/02 4,000 7,445 North Dakota State Housing Finance Agency, Ser. II-R-140, Rev., FRDO, 1.26%, 03/07/02 7,445 -------------- 11,445 OHIO -- 0.5% 3,800 Columbus, Ohio, Ser. 1, GO, FRDO, 1.10%, 03/07/02 3,800 8,000 Franklin County, Franklin County Hospital, Ser. II-R-55, Rev., FRDO, 1.34%, 03/07/02 8,000 10,440 Ohio State Building Authority, FLOATS, Ser. PA-908, Rev., FRDO, AMBAC, 1.21%, 03/07/02 10,440
See notes to financial statements. 52 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Money Market Instruments -- Continued - --------------------------------------------------------------------------------------------------- OHIO -- CONTINUED $ 4,995 Ohio State Turnpike Commission, Ser. II-R-51, Rev., FRDO, FGIC, 3.20%, 03/28/02 $ 4,995 2,800 Ohio State Water Development Authority, Pollution Control Facilities, Ohio Edison Co. Project, Ser. B, Rev., FRDO, 1.35%, 03/01/02 2,800 5,000 Youngstown City School District, BAN, 3.13%, 04/15/02 5,004 -------------- 35,039 OKLAHOMA -- 0.4% 4,745 Oklahoma Water Resource Board, State Loan Program, Ser. A, Rev., FRDO, 2.40%, 03/04/02 4,745 5,000 Oklahoma Water Resource Board, State Loan Program, Ser. S, Rev., FRDO, 2.40%, 03/04/02 5,000 10,490 Tulsa County Home Finance Authority, Multi-Family Housing, Waterford Apartments Project, Rev., FRDO, 1.15%, 03/07/02 10,490 6,500 Tulsa Industrial Authority, Justin Industries Project, Rev., FRDO, 2.13%, 03/07/02 6,500 -------------- 26,735 OREGON -- 1.1% 10,000 Multnomah County, Ser. R-17, GO, FRDO, 1.24%, 03/07/02 10,000 6,000 Oregon State, 1.25%, 04/03/02 6,000 8,200 Oregon State Housing & Community Services Department, Convent Retirement, Ser. A, Rev., FRDO, 1.25%, 03/07/02 8,200 9,000 Oregon State Housing & Community Services Department, Single Family Housing, Ser. C, Rev., 1.67%, 02/06/03 9,000 3,440 Oregon State Housing & Community Services Department, Single Family Housing, Ser. E, Rev., 1.72%, 02/06/03 3,440 6,000 Oregon State Housing & Community Services Department, Single Family Housing, Ser. U, 2.12%, 11/14/02 6,000 3,435 Oregon State Housing & Community Services Department, Single-Family Housing, Ser. P, Rev., 2.20%, 09/12/02 3,435 4,410 Oregon State, Floating Rate Trust Receipts, Ser. A-18, Regulation D, FRDO, 1.30%, 03/06/02 4,410 4,740 Port of Portland, PCR, Reynolds Metals Project, Rev., FRDO, 1.35%, 03/01/02 4,740 15,030 Port of Portland, Special Obligation, Horizon Air Industries, Inc. Project, Rev., FRDO, 1.40%, 03/01/02 15,030 5,500 Portland, Oregon, Sewer Systems, FLOATS, Ser. PA-872, Rev., FRDO, 1.21%, 03/07/02 5,500 7,000 Tri-County Metropolitan Transportation District, Light Rail Extension, Ser. A, GO, ^, 6.00%, 07/01/02 7,144 -------------- 82,899
See notes to financial statements. 53 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Money Market Instruments -- Continued - --------------------------------------------------------------------------------------------------- PENNSYLVANIA -- 3.7% $ 7,250 Allegheny County Hospital Development Authority, Presbyterian University Health Center, Ser. C, Rev., FRDO, MBIA, 1.20%, 03/07/02 $ 7,250 17,995 Allegheny County IDA, Health & Housing Facilities, Longwood, Ser. B, Rev., FRDO, 1.50%, 03/01/02 17,995 10,000 Allegheny County Sanitation Authority, FLOATS, Ser. 1307, FRDO, 1.18%, 03/07/02 10,000 9,900 Berks County IDA, Health Care-Lutheran Services, Ser. A, Rev., FRDO, AMBAC, 1.20%, 03/06/02 9,900 4,375 City of Philadelphia Funding Program, Intergovernmental Cooperative Authority, Special Tax, Rev., ^, 6.80%, 06/15/02 4,426 8,300 Clarion County IDA, Energy Development, Piney Creek Project, Rev., FRDO, 1.20%, 03/06/02 8,300 100 Delaware Valley Regional Finance Authority, Local Government, Rev., FRDO, 1.15%, 03/06/02 100 8,500 Delaware Valley Regional Finance Authority, Local Government, Ser. C, Rev., FRDO, 1.15%, 03/06/02 8,500 14,400 Delaware Valley Regional Finance Authority, Local Government, Ser. D, Rev., FRDO, 1.15%, 03/06/02 14,400 5,900 Eagle Tax Exempt Trust, Weekly Option Mode, Class A, FRDO, #, 1.24%, 03/07/02 5,900 7,090 Emmaus General Authority, Sub Ser. G-16, Rev., FRDO, 1.25%, 03/06/02 7,090 2,000 Harrisburg Authority, Municipal Securities Trust Receipts, Ser. SGA-80, Rev., FRDO, FGIC, 1.20%, 03/06/02 2,000 9,780 Lancaster County Hospital Authority, Willow Valley Lakes Health Center, Ser. B, Rev., FRDO, MBIA, 1.20%, 03/07/02 9,780 7,000 Montgomery County, GO, TRAN, 3.00%, 12/31/02 7,087 10,000 Montgomery County, Redevelopment Authority, Multi-Family Housing, Kingswood Apartment Project, Ser. A, Rev., FRDO, 1.10%, 03/07/02 10,000 7,600 Pennsylvania Convention Center Authority, FLOATS, Ser. PT-1224, Rev., FRDO, FGIC, 1.18%, 03/07/02 7,600 45,000 Pennsylvania Economic Development Financing Authority, Reliant Energy Seward Project, Ser. A, Rev., FRDO, 1, 1.20%, 03/06/02 45,000 5,345 Pennsylvania Energy Development Authority, B&W Ebensburg Project, Rev., FRDO, 1.20%, 03/06/02 5,345 7,390 Pennsylvania Intergovernmental Cooperative Authority, Floating Rate Receipts, Ser. SG-16, 1.18%, 03/07/02 7,390 9,000 Pennsylvania Intergovernmental Cooperative Authority, Floating Rate Receipts, Ser. SG-67, Rev., FRDO, FGIC, 1.18%, 03/07/02 9,000 5,500 Pennsylvania State Higher Education Assistance Agency, Student Loan, Ser. A, Rev., FRDO, AMBAC, 1.25%, 03/06/02 5,500
See notes to financial statements. 54 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Money Market Instruments -- Continued - --------------------------------------------------------------------------------------------------- PENNSYLVANIA -- CONTINUED $ 8,800 Pennsylvania State Higher Education Assistance Agency, Student Loan, Ser. A, Rev., FRDO, AMBAC, 1.25%, 03/06/02 $ 8,800 2,425 Pennsylvania State, 2nd Ser., GO, 5.00%, 08/01/02 2,448 4,230 Philadelphia Authority for Industrial Development, Airport, FLOATS, Ser. PT-417, Rev., FRDO, FGIC, 2.81%, 06/13/02 4,230 33,615 Philadelphia, Pennsylvania, Water & Wastewater, Floating Rate Trust Receipts, Ser. SG-158, Rev., FRDO, FGIC, 1.18%, 03/06/02 33,615 10,905 Pittsburgh, Pennsylvania, Floating Rate Receipts, Ser. SG-71, FRDO, 1.18%, 03/07/02 10,905 800 Quakertown General Authority, Pooled Financing Program, Ser. A, Rev., FRDO, 1.25%, 03/05/02 800 9,235 Southeastern Pennsylvania Transportation Authority, Ser. SG-28, Rev., FRDO, FGIC, 1.18%, 03/07/02 9,250 -------------- 272,611 PUERTO RICO -- 0.8% 3,315 Puerto Rico Commonwealth, FLOATS, Ser. PA-625, GO, FRDO, AMBAC, 1.02%, 03/07/02 3,315 800 Puerto Rico Commonwealth, FLOATS, Ser. PT-1226, FRDO, 1.02%, 03/07/02 800 46,550 Puerto Rico Commonwealth, Rev., TRAN, 3.00%, 07/30/02 46,711 2,500 Puerto Rico Commonwealth, Trust Receipts, Ser. 3, Class F, GO, FRDO, MBIA, 1.04%, 03/07/02 2,500 4,900 Puerto Rico Government Development Bank, Rev., FRDO, MBIA, 0.95%, 03/06/02 4,900 350 Puerto Rico Highway & Transportation Authority, FLOATS, Ser. PA-472, Rev., FRDO, FSA, 1.02%, 03/07/02 350 1,330 Puerto Rico Highway & Transportation Authority, Trust Receipts, Class F, Ser. B, Rev., FRDO, MBIA, 1.09%, 03/07/02 1,330 -------------- 59,906 RHODE ISLAND -- 0.8% 17,000 Rhode Island Convention Center Authority, Ser. A, Rev., FRDO, MBIA, 1.10%, 03/07/02 17,000 4,700 Rhode Island Health & Educational Building Corp., Moses Brown School Issue, Rev., FRDO, MBIA, 1.25%, 03/07/02 4,700 4,995 Rhode Island Refunding Bond Authority, State Public Projects, FLOATS, Ser. PT-419, Rev., FRDO, AMBAC, 2.80%, 06/13/02 4,995 25,665 Rhode Island State & Providence Plantations, Consolidated Capital Development Loan, Ser. B, GO, FRDO, 1.10%, 03/06/02 25,665 4,020 Rhode Island State & Providence Plantations, Consolidated Capital Development Loan, Ser. C, GO, 3.25%, 09/01/02 4,030 -------------- 56,390
See notes to financial statements. 55 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Money Market Instruments -- Continued - --------------------------------------------------------------------------------------------------- SOUTH CAROLINA -- 1.5% $ 2,500 Berkeley County, Bayer Corp. Project, Rev., FRDO, 1.40%, 03/01/02 $ 2,500 3,000 Cherokee County, Oshkosh Truck Project, Rev., FRDO, 1.35%, 03/06/02 3,000 7,480 Darlington County, PCR, Floating Rate Trust Certificates, Ser. L-36, Rev., FRDO, AMBAC, 1.25%, 03/06/02 7,480 2,150 Florence County, Solid Waste Disposal & Wastewater Treatment, Roche Carolina, Inc., Rev., FRDO, 1.45%, 03/01/02 2,150 16,000 Greenville County School District, Ser. B, GO, BAN, 3.75%, 04/24/02 16,026 2,500 Kershaw County, IDR, New South, Inc. Project, Rev., FRDO, 1.25%, 03/07/02 2,500 3,000 South Carolina Jobs & Economic Development Authority, Concept Packaging Group Project, Rev., FRDO, 1.35%, 03/07/02 3,000 8,000 South Carolina Jobs & Economic Development Authority, Hospital Facilities, Tuomey Regional Medical Center, Ser. B, Rev., FRDO, MBIA, 1.15%, 03/07/02 8,000 3,500 South Carolina Jobs & Economic Development Authority, South Carolina Catholic Diocese Project, Rev., FRDO, 1.25%, 03/07/02 3,500 4,600 South Carolina Jobs & Economic Development Authority, Specialty Minerals Project, Rev., FRDO, 1.25%, 03/06/02 4,600 4,250 South Carolina Jobs & Economic Development Authority, Valley Proteins, Inc. Project, FRDO, 1.30%, 03/07/02 4,250 4,910 South Carolina State Housing Finance & Development Authority, Rental Housing, Oak Ridge/McGuire, FRDO, 1.20%, 03/07/02 4,910 2,845 South Carolina State Housing Finance & Development Authority, Rental Housing, Waverly Place Project, Rev., FRDO, 1.20%, 03/07/02 2,845 1,950 South Carolina State Public Service Authority, Electric Systems, Santee Cooper, Ser. D, Rev., AMBAC, ^, 6.50%, 07/01/02 2,013 6,750 South Carolina State Public Service Authority, Electric Systems, Santee Cooper, Ser. D, Rev., AMBAC, ^, 6.50%, 07/01/02 6,967 6,000 South Carolina State, FLOATS, Ser. PT-1225, 1.18%, 03/07/02 6,000 9,300 South Carolina State, Ser. 7, GO, FRDO, 1.24%, 03/07/02 9,305 23,100 South Carolina Transportation Infrastructure Bank, Floating Rate Certificates, Ser. L-10, Regulation D, Rev., FRDO, AMBAC, 1.30%, 03/06/02 23,100 -------------- 112,146
See notes to financial statements. 56 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Money Market Instruments -- Continued - --------------------------------------------------------------------------------------------------- SOUTH DAKOTA -- 0.3% $ 2,000 Sioux Falls School District No. 49-5, Capital Outlay Certificates, Ser. B, GO, AMBAC, ^, 5.75%, 07/01/02 $ 2,020 4,710 South Dakota Economic Development Finance Authority, Hastings Filters Inc. Project, Rev., FRDO, 1.30%, 03/07/02 4,710 10,455 South Dakota Housing Development Authority, FLOATS, Ser. PT-73, FRDO, 1.21%, 03/07/02 10,455 4,500 South Dakota Housing Development Authority, Ser. N-1, Regulation D, Rev., FRDO, 1.30%, 03/06/02 4,500 -------------- 21,685 TENNESSEE -- 2.8% 2,500 Blount County Public Building Authority, Local Government Public Improvement, Ser. A-1D, Rev., FRDO, AMBAC, 1.30%, 03/01/02 2,500 3,600 Blount County Public Building Authority, Local Government Public Improvement, Ser. A-1F, Rev., FRDO, AMBAC, 1.30%, 03/06/02 3,600 3,000 Blount County Public Building Authority, Local Government Public Improvement, Ser. A-1G, Rev., FRDO, AMBAC, 1.30%, 03/01/02 3,000 3,925 Blount County Public Building Authority, Local Government Public Improvement, Ser. A-2F, Rev., FRDO, AMBAC, 1.30%, 03/01/02 3,925 3,850 Blount County Public Building Authority, Local Government Public Improvement, Ser. A-2H, Rev., FRDO, AMBAC, 1.30%, 03/01/02 3,850 3,100 Bradley County IDB, Olin Corp. Project, Ser. C, Rev., FRDO, 1.40%, 03/01/02 3,100 800 Clarksville Public Building Authority, Pooled Financing, Tennessee Municipal Bond Fund, Rev., FRDO, 1.20%, 03/07/02 800 14,500 Clarksville Public Building Authority, Tennessee Municipal Bond Fund, Pooled Financing, Rev., FRDO, 1.30%, 03/01/02 14,500 3,000 Jackson IDB, Solid Waste Disposal, FLA Steel Corp. Project, FRDO, 1.30%, 03/07/02 3,000 13,020 Knoxville Utilities Board, Electric Systems, Rev., FRDO, FSA, 1.30%, 03/06/02 13,020 7,385 Knoxville Utilities Board, Water Systems, Rev., FRDO, FSA, 1.30%, 03/01/02 7,385 10,000 Metropolitan Government Nashville & Davidson Counties, Health & Educational Facility Board, Ascension Health Credit, Ser. B-1, Rev., FRDO, 1.65%, 07/02/02 10,000 14,000 Metropolitan Government Nashville & Davidson Counties, Health & Educational Facility Board, Ascension Health Credit, Ser. B-2, Rev., FRDO, 2.00%, 01/03/03 14,000
See notes to financial statements. 57 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Money Market Instruments -- Continued - --------------------------------------------------------------------------------------------------- TENNESSEE -- CONTINUED $ 15,000 Metropolitan Government Nashville & Davidson Counties, Health & Educational Facility Board, Belmont University Project, Rev., FRDO, 1.20%, 03/06/02 $ 15,000 2,700 Metropolitan Government Nashville & Davidson Counties, IDB, Country Music Hall of Fame, Rev., FRDO, 1.17%, 03/07/02 2,700 3,575 Metropolitan Government Nashville & Davidson Counties, IDB, Rev., FRDO, 1.25%, 03/07/02 3,575 6,995 Metropolitan Government Nashville & Davidson Counties, FLOATS, Ser. PT-394, GO, FRDO, 1.24%, 03/07/02 6,995 25,600 Metropolitan Nashville Airport Authority, American Airlines Project, Ser. B, Rev., FRDO, 1.35%, 03/01/02 25,600 1,500 Sevier County Public Building Authority, Local Government Public Improvement, Ser. II-A-1, Rev., FRDO, AMBAC, 1.17%, 03/07/02 1,500 2,500 Sevier County Public Building Authority, Local Government Public Improvement, Ser. II-A-2, Rev., FRDO, AMBAC, 1.17%, 03/07/02 2,500 1,110 Sevier County Public Building Authority, Local Government Public Improvement, Ser. II-D-3, Rev., FRDO, AMBAC, 1.17%, 03/07/02 1,110 3,400 Sevier County Public Building Authority, Local Government Public Improvement, Ser. III-B-3, Rev., FRDO, AMBAC, 1.17%, 03/07/02 3,400 6,800 Sevier County Public Building Authority, Local Government Public Improvement, Ser. III-C-5, Rev., FRDO, AMBAC, 1.17%, 03/07/02 6,800 1,600 Sevier County Public Building Authority, Local Government Public Improvement, Ser. III-D-3, Rev., FRDO, AMBAC, 1.17%, 03/07/02 1,600 2,500 Sevier County Public Building Authority, Local Government Public Improvement, Ser. III-E-3, Rev., FRDO, AMBAC, 1.17%, 03/07/02 2,500 5,265 Shelby County Health, Educational & Housing Facilities Board, Rhodes College, Rev., FRDO, 1.17%, 03/07/02 5,265 7,500 Shelby County, Promissory Note, 1.25%, 03/22/02 7,500 600 South Pittsburgh IDB, Lodge Manufacturing Co. Project, Rev., FRDO, 1.30%, 03/06/02 600 18,050 Stewart County IDB, Solid Waste Disposal, Standard Gypsum Project, Rev., FDRO, 1.30%, 03/06/02 18,050 10,000 Tennessee State, Ser. B, GO, 5.50%, 05/01/02 10,045 10,500 Volunteer State Student Funding Corp., Tennessee Student Loan, Ser. A-2, Rev., FRDO, 1.25%, 03/06/02 10,500 -------------- 207,920 TEXAS -- 14.0% 2,900 Angelina & Neches River Authority, Industrial Development Corp., Solid Waste, Ser. 1984-D, Rev., FRDO, 1.35%, 03/01/02 2,900
See notes to financial statements. 58 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Money Market Instruments -- Continued - --------------------------------------------------------------------------------------------------- TEXAS -- CONTINUED $ 4,200 Angelina & Neches River Authority, Industrial Development Corp., Solid Waste, Ser. 1984-E, Rev., FRDO, 1.35%, 03/01/02 $ 4,200 5,595 Arlington Independent School District, FLOATS, Ser. PA-874, Rev., FRDO, 1.21%, 03/07/02 5,595 2,000 Arlington, Permanent Improvement, Ser. A, GO, 6.10%, 08/15/02 2,037 5,300 Austin Higher Education Authority, Concordia University at Austin, Rev., FRDO, 1.30%, 03/01/02 5,300 5,025 Bexar County Housing Finance Authority, Multi- Family Housing, Fountainhead Apartments, Rev., FRDO, 1.20%, 03/06/02 5,025 4,990 Brazos River Authority, PCR, FLOATS, Ser. PA-829, Rev., FRDO, 1.37%, 03/07/02 4,990 5,000 Brazos River Authority, PCR, TXU Electric Co., Ser. C, Rev., FRDO, 1.60%, 03/21/02 5,000 8,900 Brazos River Habor Navigation District, Merey Sweeny LP Project, Ser. A, Rev., FRDO, 1.45%, 03/01/02 8,900 10,000 Calhoun County Naval IDA, British Petroleum Co., Rev., FRDO, 1.50%, 03/01/02 10,000 5,000 Dallas-Fort Worth International Airport Facilities Improvement Corp., Flight Safety Project, Rev., FRDO, 1.27%, 03/07/02 5,000 3,910 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 99-4302, #, FRDO, 1.24%, 03/07/02 3,910 2,420 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 3C-7, Class A, #, FRDO, 1.24%, 03/07/02 2,420 2,400 Grapevine Industrial Development Corp., IDB, American Airlines, Inc., Ser. A-2, Rev., FRDO, 1.30%, 03/01/02 2,400 1,200 Grapevine Industrial Development Corp., IDB, American Airlines, Inc., Ser. A-4, Rev., FRDO, 1.30%, 03/01/02 1,200 800 Grapevine Industrial Development Corp., IDB, American Airlines, Inc., Ser. B-1, Rev., FRDO, 1.30%, 03/01/02 800 3,000 Grapevine Industrial Development Corp., IDB, American Airlines, Inc., Ser. B-2, Rev., FRDO, 1.30%, 03/01/02 3,000 4,500 Greater East Texas Higher Education Authority, Ser. A, Rev., FRDO, 1.18%, 03/07/02 4,500 9,000 Greater East Texas Higher Education Authority, Ser. A, Rev., FRDO, 3.25%, 05/01/02 9,000 5,000 Greater East Texas Higher Education Authority, Ser. B, Rev., FRDO, 1.23%, 03/01/02 5,000 10,000 Greater Texas Student Loan Corp., Student Loan, Ser. A, Rev., FRDO, 1.23%, 03/07/02 10,000 3,000 Guadalupe-Blanco River Authority, Industrial Development Corp., IDR, The BOC Group, Inc. Project, Rev., FRDO, 1.20%, 03/07/02 3,000
See notes to financial statements. 59 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Money Market Instruments -- Continued - --------------------------------------------------------------------------------------------------- TEXAS -- CONTINUED $ 3,000 Gulf Coast IDA, Environmental Facilities, Citgo Petroleum Corp. Project, Rev., FRDO, 1.45%, 03/01/02 $ 3,000 800 Gulf Coast Waste Disposal Authority, Environmental Facilities, Exxon-Mobil Project, Ser. B, Rev., FRDO, 1.35%, 03/01/02 800 6,350 Gulf Coast Waste Disposal Authority, PCR, Amoco Oil Co. Project, Ser. A, Rev., FRDO, 1.40%, 03/01/02 6,350 5,000 Gulf Coast Waste Disposal Authority, PCR, Exxon Project, Rev., FRDO, 1.25%, 03/01/02 5,000 5,000 Harlandale Independent School District, Municipal Securities Trust Receipts, Ser. SGA-100, GO, FRDO, 1.23%, 03/06/02 5,000 15,800 Harris County, Promissory Note, 1.25%, 03/06/02 15,800 12,863 Harris County, Promissory Note, 1.30%, 05/20/02 12,863 7,200 Hays Memorial Health Facilities Development Corp., Central Texas Medical Center Project, Ser. A, Rev., 1.25%, 03/07/02 7,200 5,000 Hockley County Industrial Development Corp., PCR, AMOCO Project, Rev., FRDO, 1.94%, 05/01/02 5,000 10,000 Hoston, Texas, Promissory Note, 1.35%, 03/05/02 10,000 29,245 Houston Higher Education Finance Corp., Floating Rate Certificates, Ser. SG-139, Rev., FRDO, 1.21%, 03/07/02 29,245 10,000 Houston, Texas, 1.25%, 05/01/02 10,000 17,500 Houston, Texas, Airport Systems, Floating Rate Receipts, Ser. SG-149, Rev., FRDO, FSA, 1.27%, 03/07/02 17,500 20,065 Houston, Texas, Floating Rate Certificates, Ser. 523, COP, FRDO, MBIA, 1.22%, 03/07/02 20,738 22,900 Houston, Texas, Promissory Note, 1.30%, 05/08/02 22,900 20,000 Houston, Texas, Promissory Note, 1.35%, 05/30/02 20,000 20,000 Houston, Texas, Water & Sewer, GO, 1.45%, 05/30/02 20,000 28,600 Houston, Texas, Water and Sewer Systems, Municipal Securities Trust Receipts, Ser. SG-120, Rev., FRDO, 1.21%, 03/07/02 28,600 10,800 Hurst-Euless-Bedford Independent School District, Floating Rate Trust Receipts, Ser. SG-98, GO, FRDO, PSF, 1.21%, 03/07/02 10,800 5,200 Keller Independent School District, Municipal Securities Trust Receipts, Ser. SGA-111, GO, FRDO, 1.35%, 03/01/02 5,200 4,400 Lone Star Airport Improvement Authority, Multiple Mode, Ser. A-5, Rev., FRDO, 1.40%, 03/01/02 4,400 1,300 Lone Star Airport Improvement Authority, Multiple Mode, Ser. B-1, Rev., FRDO, 1.40%, 03/01/02 1,300 4,200 Longview Industrial Corp., Collins Industries, Inc. Project, Rev., FRDO, 1.35%, 03/07/02 4,200 19,425 Lower Colorado River Authority, FLOATS, Ser. PA-590, Rev., FRDO, FSA, 1.21%, 03/07/02 19,437
See notes to financial statements. 60 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Money Market Instruments -- Continued - --------------------------------------------------------------------------------------------------- TEXAS -- CONTINUED $ 6,500 Lower Neches Valley Authority, Industrial Development Corp., Exempt Facilities, Exxon-Mobil Project, Ser. A, Rev., FRDO, 1.25%, 03/01/02 $ 6,500 33,055 Lower Neches Valley Authority, Industrial Development Corp., Exxon Mobil Project, Ser. B, Rev., FRDO, 1.35%, 03/01/02 33,055 5,455 Mansfield Independent School District, Municipal Securities Trust Receipts, Ser. SGA-129, GO, FRDO, 1.23%, 03/06/02 5,455 5,290 Mission Consolidated Independent School District, Municipal Securities Trust Receipts, Ser. SGA-105, GO, FRDO, 1.23%, 03/06/02 5,290 17,050 New Caney Independent School District, Floating Rate Trust Certificates, Ser. SG-142, GO, FRDO, 1.21%, 03/07/02 17,050 20,000 North East Independent School District, Floating Rate Certificates, Ser. SG-143, GO, FRDO, 1.21%, 03/07/02 20,000 3,700 North Texas Higher Education Authority, Student Loan, Ser. A, Rev., FRDO, 1.25%, 03/06/02 3,700 8,000 North Texas Higher Education Authority, Student Loan, Ser. B, Rev., FRDO, 1.25%, 03/06/02 8,000 7,700 North Texas Higher Education Authority, Student Loan, Ser. C, Rev., FRDO, AMBAC, 1.25%, 03/06/02 7,700 1,400 North Texas Higher Education Authority, Student Loan, Ser. F, Rev., FRDO, AMBAC, 1.25%, 03/06/02 1,400 15,000 Northside Independent School District, School Building, Ser. A, GO, FRDO, 3.00%, 08/29/02 15,025 10,300 Panhandle-Plains Higher Education Authority, Student Loan, Ser. A, Rev., FRDO, 1.20%, 03/06/02 10,300 11,735 Pharr San Juan Alamo Independent School District, Municipal Securities Trust Receipts, Ser. SGA-101, GO, FRDO, 1.23%, 03/06/02 11,735 4,900 Port Arthur Navigation District, American Petrofina, Inc., Rev., FRDO, 1.35%, 03/01/02 4,900 1,000 Port Corpus Christi Authority, Koch Refining Co. Project, FRDO, 1.20%, 03/06/02 1,000 9,000 Port Corpus Christi Authority, Nueces County Marine Terminal, Reynolds Metals Co. Project, Rev., FRDO, 1.25%, 03/06/02 9,000 10,475 Round Rock, Texas, FRDO, 1.24%, 03/07/02 10,475 6,520 San Angelo Independent School District, GO, FRDO, 1.18%, 03/07/02 6,520 7,450 San Antonio Higher Education Authority, Trinity University Project, Rev., FRDO, 1.15%, 03/06/02 7,450 6,300 San Antonio, Texas, Electric & Gas, FLOATS, Ser. SG-101, FRDO, 1.21%, 03/07/02 6,300 19,920 San Antonio, Texas, Electric & Gas, Municipal Securities Trust Receipts, Ser. SGA-48, Rev., FRDO, 1.23%, 03/06/02 19,937
See notes to financial statements. 61 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Money Market Instruments -- Continued - --------------------------------------------------------------------------------------------------- TEXAS -- CONTINUED $ 10,430 San Antonio, Texas, Water, Municipal Securities Trust Receipts, Ser. SGA-41, Rev., FRDO, MBIA, 1.23%, 03/06/02 $ 10,457 5,000 San Antonio, Texas, Water, Municipal Securities Trust Receipts, Ser. SGA-42, Rev., FRDO, MBIA, 1.23%, 03/06/02 5,010 9,000 Schertz/Seguin Local Government Corp., Floating Rate Certificates, Ser. SG-151, Rev., FRDO, FSA, 1.50%, 03/01/02 9,000 12,200 South Texas Higher Education Authority, Rev., FRDO, MBIA, 1.20%, 03/06/02 12,200 15,000 South Texas Higher Education Authority, Rev., FRDO, MBIA, 1.20%, 03/06/02 15,000 3,130 Tarrant County Housing Finance Corp, Multi-Family Housing, Remington Project, Rev., FRDO, 1.15% 03/06/02 3,130 1,100 Texas State Department of Housing & Community Affairs, Multi-Family Housing, Timber Point Apartments, Ser. A-1, Rev., FRDO, 1.25%, 03/06/02 1,100 3,000 Texas State Turnpike Authority, Dallas North Thruway, Floating Rate Trust Receipts, Ser. SG-70, Rev., FRDO, 1.21%, 03/07/02 3,000 17,475 Texas State Turnpike Authority, Floating Rate Trust Receipts, Ser. N-2, Regulation D, Rev., FRDO, 1.25%, 03/06/02 17,530 4,200 Texas State, Floating Rate Certificates, Ser. 290, GO, FRDO, 1.22%, 03/07/02 4,200 9,970 Texas State, Floating Rate Certificates, Ser. SG-152, GO, FRDO, 1.50%, 03/01/02 9,970 143,600 Texas State, Ser. A-L-32, Rev., TRAN, 3.75%, 08/29/02 144,684 23,876 Texas State, Veterans Housing Assistance Fund I, GO, FRDO, 1.10%, 03/06/02 23,876 20,000 Texas State, Veterans Housing Assistance Fund II, Ser. A-2, GO, FRDO, 1.20%, 03/06/02 20,000 4,200 Texas State, Veteran's Housing Assistance, Ser. A-1, GO, FRDO, 1.30%, 03/06/02 4,200 22,895 Texas Water Development Board, FLOATS, Ser. PA-912, Rev., FRDO, 1.21%, 03/07/02 22,895 10,742 University of Texas, 1.25%, 04/02/02 10,742 26,000 University of Texas, 1.40%, 07/01/02 26,000 30,000 University of Texas, 1.40%, 07/01/02 30,000 6,000 University of Texas, 1.40%, 07/01/02 6,000 25,000 University of Texas, 1.40%, 07/01/02 25,000 5,000 University of Texas, 1.40%, 07/01/02 5,000 7,000 West Side Calhoun County Naval District, Environmental Facilities, BP Chemicals, Inc. Project, Rev., FRDO, 1.40%, 03/01/02 7,000 3,600 West Side Calhoun County Naval District, Sewer & Solid Waste Disposal, BP Chemicals, Inc. Project, Rev., FRDO, 1.40%, 03/01/02 3,600 -------------- 1,019,896
See notes to financial statements. 62 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Money Market Instruments -- Continued - --------------------------------------------------------------------------------------------------- UTAH -- 1.2% $ 7,665 Intermountain Power Agency, Municipal Trust Receipts, Ser. SG-6, Rev., FRDO, 1.21%, 03/07/02 $ 7,665 6,145 Salt Lake City, Utah, Airport, Floating Rate Trust Receipts, Ser. A-10, Regulation D, Rev., FRDO, FGIC, 1.25%, 03/06/02 6,145 4,000 Salt Lake City, Utah, Rowland Hall St. Marks School Project, Rev., FRDO, 1.15%, 03/07/02 4,000 28,560 University of Utah, Floating Rate Trust Receipts, Ser. N-15, Regulation D, Rev., FRDO, MBIA, 1.35%, 03/06/02 28,560 10,000 Utah County, Environmental Improvement, USX Corp. Project, Rev., FRDO, 1.15%, 03/07/02 10,000 5,000 Utah Housing Finance Agency, Single Family Mortgage, Ser. C-1, Class I, Rev., FRDO, 1.25%, 03/06/02 5,000 7,500 Utah Housing Finance Agency, Single Family Mortgage, Ser. D-1, Rev., FRDO, 1.25%, 03/06/02 7,500 5,000 Utah Housing Finance Agency, Single Family Mortgage, Ser. E-1, Rev., FRDO, 1.25%, 03/06/02 5,000 5,000 Utah Housing Finance Agency, Single Family Mortgage, Ser. F-2, Class I, Rev., FRDO, 1.25%, 03/06/02 5,000 11,200 Utah State Board of Regents, Student Loans, Ser. Q, Rev., FRDO, AMBAC, 1.20%, 03/06/02 11,200 -------------- 90,070 VERMONT -- 0.3% 5,900 Vermont Educational & Health Buildings Financing Agency, Hospital, VHA New England, Ser. D, Rev., FRDO, AMBAC, 1.30%, 03/06/02 5,900 9,875 Vermont State, Promissory Note, 1.30%, 04/11/02 9,875 5,000 Vermont Student Assistance Corp., Student Loans, Rev., FRDO, 1.45%, 03/01/02 5,000 -------------- 20,775 VIRGINIA -- 0.8% 2,600 Alexandria Redevelopment & Housing Authority, Residential Care Facility, Goodwin House, Ser. B, Rev., FRDO, 1.30%, 03/01/02 2,600 2,000 Harrisonburg Redevelopment & Housing Authority, Multi-Family Housing, Misty Ridge Project, Ser. A, Rev., FRDO, 1.22%, 03/07/02 2,000 2,450 Metropolitan Washington Airport Authority, Floating Rate Trust Receipt, Ser. L-4, Rev., FRDO, MBIA, 1.30%, 03/06/02 2,450 2,900 Peninsula Ports Authority, Coal Terminal, Dominion Terminal Project, Ser. C, Rev., FRDO, 1.40%, 03/01/02 2,900 3,525 Petersburg Hospital Authority, Southside Regional Hospital Facilities, Rev., FRDO, 1.30%, 03/01/02 3,525 10,400 Richmond IDA, Educational Facilities, Church Schools, Rev., FRDO, 1.30%, 03/01/02 10,400
See notes to financial statements. 63 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Money Market Instruments -- Continued - --------------------------------------------------------------------------------------------------- VIRGINIA -- CONTINUED $ 23,590 Virginia Commonwealth Transportation Board, Floating Rate Receipts, Ser. SG-137, Rev., FRDO, 1.21%, 03/07/02 $ 23,604 8,885 Virginia Public School Authority, FLOATS, Ser. PT-431, Rev., FRDO, 1.18%, 03/07/02 8,885 -------------- 56,364 WASHINGTON -- 3.7% 1,500 Clark County Public Utility District No. 001, Municipal Securities Trust Receipts, Ser. SGA-118, Rev., FRDO, FSA, 1.35%, 03/01/02 1,500 25,000 Clark County Public Utility District No. 001, Rev., BAN, 4.00%, 03/26/02 25,013 5,000 Clipper Tax-Exempt Trust, COP, Ser. 2002-8, FRDO, 1.24%, 03/07/02 5,000 950 King County Housing Authority, Auburn Court Apartments Project, Rev., FRDO, 1.40%, 03/07/02 950 5,000 King County School District No. 414, Lake Washington, GO, 3.00%, 12/01/02 5,039 13,650 King County, FLOATS, Ser. PA-204, GO, FRDO, 1.21%, 03/07/02 13,650 15,830 King County, FLOATS, Ser. PT-385, GO, FRDO, 1.24%, 03/07/02 15,830 12,098 Municipality of Metropolitan Seattle, Floating Rate Certificates, Ser. 236, Rev., FRDO, FGIC, 1.22%, 03/28/02 12,185 6,915 Municipality of Metropolitan Seattle, FLOATS, Ser. PA-731-R, Rev., FRDO, AMBAC, 1.21%, 03/07/02 6,965 6,000 Port Bellingham Industrial Development Corp., Environmental Facilities, Atlantic Richfield Project, Rev., FRDO, 1.40%, 03/01/02 6,000 10,000 Port of Anacorles, Washington, Promissory Note, 1.25%, 03/06/02 10,000 7,200 Port Townsend Industrial Development Corp., Port Townsend Paper Corp., Ser. A, Rev., FRDO, 1.30%, 03/07/02 7,200 725 Redmond Public Corp., IDB, Integrated Circuits Project, Rev., FRDO, 1.15%, 03/07/02 725 1,235 Seattle Housing Authority, Low Income Housing Assistance, Bayview Manor Project, Ser. B, Rev., FRDO, 1.20%, 03/07/02 1,235 11,955 Seattle Municipal Light & Power, Municipal Securities Trust Receipts, Ser. SGA-96, Rev., FRDO, MBIA, 1.35%, 03/01/02 11,958 19,885 Seattle, Washington, Drain & Wastewater Utilities, Municipal Securities Trust Receipts, Ser. SG-135, Rev., FRDO, MBIA, 1.21%, 03/07/02 19,890 1,830 Seattle, Washington, GO, 4.50%, 07/01/02 1,840 9,700 Seattle, Washington, Water Systems, Rev., FRDO, 0.95%, 03/06/02 9,700 2,500 Snohomish County Public Utility District No. 1, Generation Systems, Ser. A, Rev., FRDO, FSA, 1.10%, 03/06/02 2,500
See notes to financial statements. 64 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Money Market Instruments -- Continued - --------------------------------------------------------------------------------------------------- WASHINGTON -- CONTINUED $ 10,500 Snohomish County, Washington, Public Utilities District No. 001, Municipal Securities Trust Receipts, Ser. SGA-124, Rev., FRDO, FSA, 1.35%, 03/01/02 $ 10,501 5,103 Tacoma, Washington, Electric Systems, Floating Rate Certificates, Ser. 507, Rev., FRDO, FGIC, 1.22%, 03/07/02 5,123 14,500 Tacoma, Washington, Tax Exempt, 1.25%, 03/18/02 14,500 7,760 Washington Health Care Facilities Authority, Virginia Mason Medical Center, Ser. B, Rev., FRDO, MBIA, 1.40%, 03/01/02 7,760 3,170 Washington State Housing Finance Commission, Single Family Housing, Ser. 2-A-S, Rev., 3.25%, 04/01/02 3,170 2,900 Washington State Housing Finance Commission, Spokane Community College Foundation, Ser. A, Rev., FRDO, 1.30%, 03/07/02 2,900 12,885 Washington State Public Power Supply System, Floating Rate Trust Receipts, Ser. L-15, Regulation D, GO, FRDO, 1.30%, 03/06/02 12,885 16,030 Washington State Public Power Supply System, Nuclear Project No. 3, Ser. A, Rev., 5.00%, 07/01/02 16,152 16,285 Washington State Public Power Supply System, Project No. 2, Ser. 2A-1, Rev., FRDO, MBIA, 1.10%, 03/06/02 16,285 14,130 Washington State Public Power Supply System, Project No. 3, Electric Revenue, Ser. 3-A, Rev., FRDO, MBIA, 1.10%, 03/06/02 14,130 13,710 Washington State, Rev., FRDO, 1.24%, 03/07/02 13,710 -------------- 274,296 WEST VIRGINIA -- 0.2% 4,600 West Virginia Economic Development Authority, IDR, Rev., FRDO, 1.25%, 03/07/02 4,600 2,500 West Virginia School Building Authority, Capital Improvement, Ser. B, Rev., FSA, 5.00%, 07/01/02 2,520 5,765 West Virginia State Building Commission, FLOATS, Ser. PA-520, Rev., 1.24%, 03/07/02 5,765 4,000 West Virginia State Hospital Finance Authority, VHA Mid-Alantic, Ser. C, Rev., FRDO, AMBAC, 1.30%, 03/06/02 4,000 -------------- 16,885 WISCONSIN -- 1.8% 5,520 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 94-4904, FRDO, #, 1.26%, 03/07/02 5,520 2,235 Janesville, Wisconsin, Promissory Note, GO, FSA, 4.40%, 05/01/02 2,240 20,000 Milwaukee, Wisconsin, Rev., BAN, 3.50%, 08/29/02 20,101 2,500 University Hospital & Clinics Authority, University of Wisconsin, Rev., FRDO, MBIA, 1.15%, 03/06/02 2,500 3,060 Wisconsin Housing & Economic Development Authority, Home Ownership, Floating Rate Trust Receipts, Ser. 18, Rev., FRDO, 1.35%, 03/06/02 3,060
See notes to financial statements. 65 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Money Market Instruments -- Continued - --------------------------------------------------------------------------------------------------- WISCONSIN -- CONTINUED $ 52,600 Wisconsin Housing & Economic Development Authority, Single-Family Housing, FLOATS, Ser. PT-598, Rev., 1.32%, 03/07/02 $ 52,600 7,220 Wisconsin Public Power, Inc., Power Supply System, Municipal Securities Trust Receipts, Ser. SGA-2, Rev., FRDO, AMBAC, 1.23%, 03/06/02 7,299 8,600 Wisconsin State Health & Educational Facilities Authority, Felician Services, Ser. A, Rev, FRDO, AMBAC, 1.14%, 03/06/02 8,600 3,000 Wisconsin State Health & Educational Facilities Authority, Rev., FRDO, 1.25%, 03/05/02 3,000 6,240 Wisconsin State, Clean Water, FLOATS, Ser PA-915, Rev., FRDO, 1.21%, 03/07/02 6,240 5,830 Wisconsin State, Clean Water, FLOATS, Ser. PA-718, Rev., FRDO, ^, 1.21%, 03/07/02 5,830 7,200 Wisconsin State, Promissory Note, 1.30%, 05/20/02 7,200 9,510 Wisconsin State, Ser. II-R-135, GO, FRDO, 1.24%, 03/07/02 9,510 -------------- 133,700 WYOMING -- 1.1% 17,700 Kemmer, Wyoming, PCR, Exxon Project, Rev., FRDO, 1.35%, 03/01/02 17,700 1,100 Lincoln County, Exxon Project, Ser. C, Rev., FRDO, 1.35%, 03/01/02 1,100 5,570 Lincoln County, PCR, Exxon Project, Ser. B, Rev., FRDO, 1.35%, 03/01/02 5,570 6,400 Lincoln County, PCR, Exxon Project, Ser. C, Rev., FRDO, 1.35%, 03/01/02 6,400 8,000 Sublette County, PCR, Exxon Project, Ser. A, Rev., FRDO, 1.35%, 03/01/02 8,000 4,400 Uinta County, PCR, AMOCO Project, Rev., FRDO, 1.25%, 03/01/02 4,400 900 Uinta County, PCR, Chevron USA, Inc. Project, Rev., FRDO, 1.25%, 03/01/02 900 1,300 Uinta County, PCR, Chevron USA, Inc. Project, Rev., FRDO, 1.25%, 03/01/02 1,300 2,300 Uinta County, PCR, Chevron USA, Inc. Project, Rev., FRDO, 1.25%, 03/01/02 2,300 14,120 Wyoming Community Development Authority, Housing, FLOATS, Ser. PT-195, Rev., 1.28%, 03/07/02 14,120 7,395 Wyoming Community Development Authority, Housing, Ser. R-141, Rev., FRDO, 1.26%, 03/07/02 7,395 7,900 Wyoming Community Development Authority, Ser. 7, Rev., FRDO, 1.23%, 03/07/02 7,900 -------------- 77,085 ------------------------------------------------------------------------------ Total State and Municipal Obligations 7,301,267 (Cost $7,301,267) - ------------------------------------------------------------------------------------------------ Total Investments -- 100.0% $7,321,267 (Cost $7,321,267) - ------------------------------------------------------------------------------------------------
See notes to financial statements. 66 JPMorgan NEW YORK TAX FREE MONEY MARKET FUND PORTFOLIO OF INVESTMENTS As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Municipal Securities -- 100.0% - --------------------------------------------------------------------------------------------------- STATE AND MUNICIPAL OBLIGATIONS -- 100.0% CALIFORNIA -- 0.0% $ 260 Oxnard Industrial Development Financing Authority, IDR, Accurate Engineering Project, Rev., FRDO, 1.15%, 03/06/02 $ 260 MINNESOTA -- 0.4% 9,000 VRDC/IVRC Trust, University of Minnesota, Tax Exempt, Rev., FRDO, FGIC, #, 1.25%, 03/06/02 9,000 NEW YORK -- 95.7% 12,000 ABN AMRO Munitops, Certificates Trust, Ser. 1999-13, FRDO, #, 1.09%, 03/06/02 12,000 525 Albany IDA, IDR, Newkirk Productions, Inc. Project, Ser. A, Rev., FRDO, 1.20%, 03/07/02 525 2,272 Albany, New York, Ser. B, GO, BAN, 3.50%, 08/02/02 2,283 8,285 Andover Central School District, GO, BAN, 2.00%, 06/28/02 8,296 5,000 Auburn City School District, GO, BAN, 3.00%, 04/01/02 5,002 1,300 Babylon IDA, IDR, Edwin Berger/Lambro Industries, Rev., FRDO, 1.15%, 03/06/02 1,300 2,750 Babylon IDA, Resource Recovery, OFS Equity Babylon Project, Rev., FRDO, 1.35%, 03/01/02 2,750 5,000 Board of Cooperative Educational Services, First Supervisory District of Suffolk County, Rev., RAN, 3.13%, 06/28/02 5,006 2,500 Board of Cooperative Educational Services, Sole Supervisory District of Oswego County, GO, RAN, 3.25%, 06/21/02 2,502 4,600 Board of Cooperative Educational Services, Sole Supervisory District of Oswego County, GO, RAN, 3.25%, 06/28/02 4,604 2,000 Board of Cooperative Educational Services, Sole Supervisory District of Oswego County, Rev., RAN, 3.00%, 06/27/02 2,005 2,000 Board of Cooperative Educational Services, Sole Supervisory District of Oswego County, Rev., RAN, 3.13%, 06/27/02 2,003 5,900 Bolivar-Richburg Central School District, GO, BAN, 2.75%, 09/27/02 5,911 6,475 Bolivar-Richburg Central School District, GO, BAN, 3.75%, 04/19/02 6,479 1,500 Bolivar-Richburg Central School District, GO, BAN, 3.75%, 05/03/02 1,501 2,636 Brookhaven IDA, IDR, Waverly Association LLC, Rev., FRDO, 1.30%, 03/07/02 2,636 400 Broome County IDA, IDR, Binghamton Realty Project, Rev., FRDO, 1.05%, 03/06/02 400 2,300 Brunswick Central School District, GO, RAN, 3.38%, 03/28/02 2,300
See notes to financial statements. 67 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Municipal Securities -- Continued - --------------------------------------------------------------------------------------------------- NEW YORK -- CONTINUED $ 2,300 Buffalo Sewer Authority, Rev., BAN, 3.40%, 06/20/02 $ 2,302 48,040 Buffalo, New York, Ser. A, GO, RAN, 3.60%, 06/27/02 48,085 8,900 Campbell-Savona Central School District, GO, BAN, 2.00%, 06/27/02 8,914 3,200 Candor Central School District, GO, BAN, 3.25%, 06/17/02 3,203 4,129 Canisteo Central School District, GO, 2.00%, 06/28/02 4,135 5,125 Cattaraugus County, GO, BAN, 2.50%, 09/27/02 5,132 6,000 Chemung County, GO, RAN, 3.00%, 06/14/02 6,015 20,000 Churchville-Chili Central School District, GO, BAN, 2.63%, 10/04/02 20,053 3,850 Clayton, New York, GO, BAN, 2.75%, 10/11/02 3,869 1,350 Cobleskill-Richmondville Central School District, GO, RAN, 3.13%, 06/27/02 1,351 1,775 Cohoes, New York, GO, BAN, 2.75%, 10/02/02 1,783 565 Coram Fire District, GO, FSA, 4.25%, 04/15/02 566 2,800 Dutchess County IDA, Civic Facility, Marist College, Ser. A, Rev., FRDO, 1.10%, 03/07/02 2,800 2,220 Dutchess County IDA, IDR, Laerdal Medical Corp. Project, Rev., FRDO, 1.30%, 03/06/02 2,220 3,300 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 3C-7, Class A, FRDO, #, 1.02%, 03/07/02 3,300 5,990 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 3C-7, Class A, FRDO, #, 1.02%, 03/07/02 5,990 10,000 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 94-3203, Class A, FRDO, #, 1.02%, 03/07/02 10,000 8,805 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 94-3205, Class A, FRDO, #, 1.02%, 03/07/02 8,805 9,910 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 94-3208, Class A, FRDO, #, 1.02%, 03/07/02 9,910 12,155 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 96-3207, Class A, FRDO, #, 1.11%, 03/07/02 12,155 5,900 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 96C-3203, Class A, FRDO, #, 1.02%, 03/07/02 5,900 14,850 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 96C-3208, Class A, FRDO, #, 1.02%, 03/07/02 14,850 4,500 Eastport-South Manor Central School District, GO, TAN, 3.25%, 06/28/02 4,512 15,000 Edgemont Union Free School District of Greenburgh, GO, BAN, 3.00%, 09/12/02 15,040 3,000 Elwood Union Free School District, GO, BAN, 2.50%, 12/20/02 3,016 2,700 Erie County Water Authority, Ser. A, Rev., FRDO, AMBAC, 1.00%, 03/06/02 2,700 1,400 Erie County Water Authority, Ser. B, Rev., FRDO, AMBAC, 1.00%, 03/06/02 1,400 7,097 Erwin, New York, GO, BAN, 2.25%, 12/26/02 7,120 2,500 Fabius-Pompey Central School District, GO, RAN, 3.00%, 06/28/02 2,502
See notes to financial statements. 68 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Municipal Securities -- Continued - --------------------------------------------------------------------------------------------------- NEW YORK -- CONTINUED $ 5,800 Fairport Central School District, GO, RAN, 3.38%, 05/02/02 $ 5,803 530 Glens Falls IDA, IDR, Broad Street Center Project, Rev., FRDO, 1.15%, 03/06/02 530 3,840 Great Neck North Water Authority, Water System, Ser. A, Rev., FRDO, FGIC, 1.00%, 03/06/02 3,840 3,147 Greece Central School District, GO, BAN, 2.38%, 12/18/02 3,150 1,000 Guilderland IDA, IDR, Northeastern Industrial Park, Ser. A, Rev., FRDO, 1.05%, 03/06/02 1,000 4,555 Hammondsport Central School District, GO, BAN, 3.00%, 06/20/02 4,558 3,000 Hewlett-Woodmere Union Free School District, GO, TAN, 3.00%, 06/27/02 3,008 4,000 Highland Falls-Fort Montgomery Central School District, GO, BAN, 3.00%, 07/11/02 4,012 2,000 Islip IDA, Brentwood Distribution Co. Facility, Rev., FRDO, 1.15%, 03/07/02 2,000 2,000 Jamestown Community College Regional Board of Trustees, GO, RAN, 3.00%, 09/06/02 2,004 5,108 Jasper Troupsberg Central School District, GO, BAN, 3.00%, 06/18/02 5,111 14,300 Jay Street Development Corp, Jay Street Project, Ser. A-2, Rev., FRDO, 1.20%, 03/01/02 14,300 5,920 Jefferson County, Ser. B, GO, BAN, 2.25%, 01/17/03 5,936 5,000 Johnson City Central School District, GO, RAN, 3.25%, 06/28/02 5,006 8,780 Long Island Power Authority, Electric Systems, Floating Rate Receipts, Ser. SG-125, Rev., FRDO, 1.04%, 03/07/02 8,780 5,050 Long Island Power Authority, Electric Systems, FLOATS, Ser. PA-368, Rev., FRDO, 1.22%, 03/07/02 5,050 4,360 Long Island Power Authority, Electric Systems, FLOATS, Ser. PA-841, Rev., FRDO, FSA, 1.04%, 03/07/02 4,360 4,362 Long Island Power Authority, Electric Systems, Ser. 7, Sub Ser. 7-A, Rev., FRDO, MBIA, 1.00%, 03/06/02 4,362 2,000 Long Island Power Authority, Electric Systems, Ser. 7, Sub Ser. 7-B, Rev., FRDO, MBIA, 1.05%, 03/06/02 2,000 600 Long Island Power Authority, Electric Systems, Sub Ser. 2-B, Ser. 2, Rev., FRDO, 1.25%, 03/01/02 600 11,500 Long Island Power Authority, Electric Systems, Sub Ser. 3-B, Rev., FRDO, 1.25%, 03/01/02 11,500 4,955 Margaretville Central School District, GO, BAN, 3.25%, 06/28/02 4,961 2,500 Marlboro Central School District, GO, TAN, 3.25%, 06/28/02 2,503 6,815 Metropolitan Transportation Authority, Dedicated Tax Fund, FLOATS, Ser. PA-683, Rev., FRDO, 1.04%, 03/07/02 6,815
See notes to financial statements. 69 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Municipal Securities -- Continued - --------------------------------------------------------------------------------------------------- NEW YORK -- CONTINUED $ 9,425 Metropolitan Transportation Authority, Dedicated Tax Fund, Municipal Securities Trust Receipts, Ser. SGA-81, Rev., FRDO, FSA, 1.12%, 03/06/02 $ 9,425 3,500 Mineola Union Free School District, BAN, 3.00%, 07/16/02 3,517 1,400 Monroe County IDA, Public Improvements, Canal Ponds Park, Ser. D, Rev., FRDO, 1.15%, 03/06/02 1,400 7,050 Morris Central School District, GO, BAN, 2.25%, 08/15/02 7,065 3,431 Morrisville-Eaton Central School District, GO, BAN, 2.13%, 06/17/02 3,436 4,000 Morrisville-Eaton Central School District, GO, BAN, 2.38%, 06/17/02 4,003 7,500 Nassau County Interim Finance Authority, Municipal Securities Trust Receipts, Ser. SGA-108, Special Tax, FRDO, 1.12%, 03/06/02 7,500 10,800 Nassau County Interim Finance Authority, Ser. B-1, Rev., BAN, 2.50%, 07/18/02 10,841 4,630 New York City Health & Hospital Corp., Health Systems, Ser. B, Rev., FRDO, 1.05%, 03/06/02 4,630 6,065 New York City Health & Hospital Corp., Health Systems, Ser. E, Rev., FRDO, 1.05%, 03/06/02 6,065 7,065 New York City Health & Hospital Corp., Health Systems, Ser. F, Rev., FRDO, 1.05%, 03/06/02 7,065 3,400 New York City Housing Development Corp., Multi-Family Housing, 100 Jane Street Development, Ser. A, Rev., FRDO, 1.15%, 03/06/02 3,400 5,900 New York City Housing Development Corp., Multi-Family Housing, 55 Pierrepont Development, Ser. A, Rev., FRDO, 1.05%, 03/06/02 5,900 2,070 New York City Housing Development Corp., Multi-Family Housing, Ser. B, Rev., 3.05%, 05/01/02 2,070 1,300 New York City Housing Development Corp., Multi-Family Housing, Sullivan Street Project, Ser. A, Rev., FRDO, 1.15%, 03/06/02 1,300 3,300 New York City Housing Development Corp., Multi-Family Rent Housing, Columbus Green, Ser. A, Rev., FRDO, 1.05%, 03/06/02 3,300 19,000 New York City Housing Development Corp., Multi-Family Rent Housing, Lyric Development, Ser. A, Rev., FRDO, 1.15%, 03/06/02 19,000 5,600 New York City Housing Development Corp., Multi-Family Rent Housing, Tribeca Tower, Ser. A, Rev., FRDO, 1.10%, 03/06/02 5,600 3,300 New York City Housing Development Corp., Multi-Family Rent Housing, West 43rd Street Development, Ser. A, Rev., FRDO, 1.15%, 03/06/02 3,300 2,400 New York City Housing Development Corp., Multi-Family Rent Housing, West 89th Street Development, Ser. A, Rev., FRDO, 1.10%, 03/06/02 2,400
See notes to financial statements. 70 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Municipal Securities -- Continued - --------------------------------------------------------------------------------------------------- NEW YORK -- CONTINUED $ 2,900 New York City IDA, Civic Facilities, Calhoun School, Inc. Project, Rev., FRDO, 1.10%, 03/07/02 $ 2,900 2,250 New York City IDA, Civic Facilities, Columbia Grammar & Prep School, Rev., FRDO, 1.40%, 03/07/02 2,250 4,730 New York City IDA, Civic Facilities, Jamaica First Pkg. LLC Project, Rev., FRDO, 1.10%, 03/07/02 4,730 7,500 New York City IDA, Civic Facilities, Municipal Securities Trust Receipts, Ser. SGA-110, Rev., FRDO, 1.12%, 03/06/02 7,511 3,200 New York City IDA, IDR, DXB Videotape, Inc. Project, Rev., FRDO, 1.20%, 03/06/02 3,200 5,400 New York City IDA, Special Facilities, Korean Airlines Co., Ser. C, Rev., FRDO, 1.25%, 03/06/02 5,400 30,900 New York City Metro Transportation Authority, 1.20%, 05/06/02 30,900 15,960 New York City Municipal Water Finance Authority, Water & Sewer Systems, Floating Trust Receipts, Ser. 11, Rev., FRDO, FSA, 1.05%, 03/06/02 15,960 14,995 New York City Municipal Water Finance Authority, Water & Sewer Systems, FLOATS, Ser. PA-454, Rev., FRDO, 1.04%, 03/07/02 14,995 8,140 New York City Municipal Water Finance Authority, Water & Sewer Systems, FLOATS, Ser. PA-523, Rev., FRDO, FGIC, 1.04%, 03/07/02 8,143 6,495 New York City Municipal Water Finance Authority, Water & Sewer Systems, FLOATS, Ser. PA-900, Rev., FRDO, 1.06%, 03/07/02 6,495 10,000 New York City Municipal Water Finance Authority, Water & Sewer Systems, FLOATS, Ser. PA-960, Rev., FRDO, 1.06%, 03/07/02 10,000 9,685 New York City Municipal Water Finance Authority, Water & Sewer Systems, Municipal Securities Trust Receipts, Ser. SGA-12, Rev., FRDO, 1.12%, 03/06/02 9,685 7,255 New York City Municipal Water Finance Authority, Water & Sewer Systems, Municipal Securities Trust Receipts, Ser. SGA-13, Rev., FRDO, 1.12%, 03/06/02 7,255 2,390 New York City Municipal Water Finance Authority, Water & Sewer Systems, Municipal Securities Trust Receipts, Ser. SGB-25, Rev., FRDO, MBIA, 1.02%, 03/07/02 2,390 9,000 New York City Municipal Water Finance Authority, Water & Sewer Systems, Municipal Securities Trust Receipts, Ser. SGB-27, Rev., FRDO, FSA, 1.02%, 03/07/02 9,000 26,475 New York City Municipal Water Finance Authority, Water & Sewer Systems, Ser. A, Rev., FRDO, FGIC, 1.25%, 03/01/02 26,475 2,000 New York City Municipal Water Finance Authority, Water & Sewer Systems, Ser. C, Rev., FRDO, FGIC, 1.30%, 03/01/02 2,000
See notes to financial statements. 71 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Municipal Securities -- Continued - --------------------------------------------------------------------------------------------------- NEW YORK -- CONTINUED $ 4,900 New York City Transit Authority, Metropolitan Transportation Authority, COP, Floating Rate Trust Receipts, Ser. PMD-10, FRDO, AMBAC, 1.14%, 03/07/02 $ 4,900 9,995 New York City Transitional Finance Authority, FLOATS, PA-830, Rev., FRDO, 1.06%, 03/07/02 9,995 11,355 New York City Transitional Finance Authority, FLOATS, PA-831, Rev., FRDO, 1.06%, 03/07/02 11,361 9,610 New York City Transitional Finance Authority, Future Tax Secured, Ser. A, Rev., FRDO, 1.00%, 03/06/02 9,610 1,940 New York City Transitional Finance Authority, Future Tax Secured, Ser. A-1, Rev., FRDO, 1.10%, 03/06/02 1,940 10,600 New York City Transitional Finance Authority, Future Tax Secured, Ser. A-2, Rev., FRDO, 1.05%, 03/06/02 10,600 5,040 New York City Transitional Finance Authority, Future Tax Secured, Ser. A-2, Rev., FRDO, 1.05%, 03/06/02 5,040 12,100 New York City Transitional Finance Authority, Future Tax Secured, Ser. B, Rev., FRDO, 1.25%, 03/01/02 12,100 2,700 New York City Transitional Finance Authority, Future Tax Secured, Ser. C, Rev., FRDO, 1.30%, 03/01/02 2,700 2,710 New York City Transitional Finance Authority, Future Tax Secured, Sub Ser. B-3, Rev., FRDO, 1.00%, 03/06/02 2,710 15,950 New York City Transitional Finance Authority, New York City Recovery, Ser. A, Rev., 3.25%, 10/02/02 16,053 57,500 New York City Transitional Finance Authority, Ser. 3, Rev., BAN, 2.75%, 11/13/02 57,636 4,165 New York City Trust for Cultural Resources, American Museum of Natural History, Ser. B, Rev., FRDO, MBIA, 1.00%, 03/06/02 4,165 2,672 New York City Trust for Cultural Resources, Carnegie Hall, Rev., FRDO, 1.15%, 03/06/02 2,672 1,600 New York City Trust for Cultural Resources, Ser. 162, Rev., FRDO, AMBAC, 1.10%, 03/07/02 1,602 15,000 New York City, New York, 1.20%, 04/08/02 15,000 21,700 New York City, New York, 1.25%, 05/06/02 21,700 2,355 New York City, New York, FLOATS, Ser. PA-148, GO, FRDO, 1.22%, 03/07/02 2,355 6,495 New York City, New York, FLOATS, Ser. PA-833, GO, FRDO, MBIA-IBC, 2.55%, 08/22/02 6,495 9,245 New York City, New York, FLOATS, Ser. PT-405, GO, FRDO, 1.04%, 03/07/02 9,245 1,300 New York City, New York, Municipal Securities Trust Receipts, Ser. SG-109, GO, FRDO, 1.04%, 03/07/02 1,300 5,525 New York City, New York, Municipal Securities Trust Receipts, Ser. SGB-33, GO, FRDO, FSA, 1.02%, 03/07/02 5,525 12,865 New York City, New York, Municipal Securities Trust Receipts, Ser. SGB-36, GO, FRDO, AMBAC, 1.12%, 03/07/02 12,865
See notes to financial statements. 72 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Municipal Securities -- Continued - --------------------------------------------------------------------------------------------------- NEW YORK -- CONTINUED $11,000 New York City, New York, Ser. B-2, Sub Ser. B-5, GO, FRDO, MBIA, 1.25%, 03/01/02 $ 11,000 55,000 New York City, New York, Ser. A, GO, RAN, 3.00%, 04/12/02 55,064 1,400 New York City, New York, Ser. B, GO, FRDO, FGIC, 1.15%, 03/01/02 1,400 20,000 New York City, New York, Ser. B, Sub Ser B-2, GO, FRDO, MBIA, 1.30%, 03/01/02 20,000 1,200 New York City, New York, Ser. B, Sub Ser. B-3, GO, FRDO, MBIA, 1.30%, 03/01/02 1,200 9,100 New York City, New York, Ser. B, Sub Ser. B-4, GO, FRDO, MBIA, 1.30%, 03/01/02 9,100 1,450 New York City, New York, Ser. B, Sub Ser. B-6, GO, FRDO, MBIA, 1.25%, 03/01/02 1,450 12,920 New York City, New York, Ser. B, Sub Ser. B-8, GO, FRDO, 1.05%, 03/06/02 12,920 3,500 New York City, New York, Ser. C, Sub Ser. C-1, GO, ^, AMBAC, 6.63%, 08/01/02 3,627 2,095 New York City, New York, Ser. F-4, GO, FRDO, 1.05%, 03/06/02 2,095 200 New York City, New York, Ser. H, Sub Ser. H-3, GO, FRDO, FSA, 1.25%, 03/01/02 200 5,900 New York City, New York, Ser. H, Sub Ser. H-3, GO, FRDO, FSA, 1.25%, 03/01/02 5,900 5,900 New York City, New York, Ser. H, Sub Ser. H-4, GO, FRDO, AMBAC, 1.05%, 03/06/02 5,900 2,400 New York City, New York, Ser. H, Sub Ser. H-6, GO, FRDO, MBIA, 1.00%, 03/06/02 2,400 4,000 New York City, New York, Sub Ser. A-4, GO, FRDO, 1.25%, 03/01/02 4,000 8,400 New York City, New York, Sub Ser. A-4, GO, FRDO, 1.25%, 03/01/02 8,400 4,700 New York City, New York, Sub Ser. A-5, GO, FRDO, 1.30%, 03/01/02 4,700 300 New York City, New York, Sub Ser. A-5, GO, FRDO, 1.30%, 03/01/02 300 29,200 New York City, New York, Sub Ser. A-6, GO, FRDO, FSA, 1.25%, 03/01/02 29,200 400 New York City, New York, Sub Ser. E-4, GO, FRDO, 1.30%, 03/01/02 400 5,000 New York City, New York, Sub Ser. E-6, GO, FRDO, FGIC, 1.25%, 03/01/02 5,000 8,690 New York Mortgage Agency, FLOATS, Ser. PA-657, Rev., FRDO, 1.06%, 03/07/02 8,690 4,800 New York Mortgage Agency, FLOATS, Ser. PA-77, Rev., FRDO, 1.13%, 03/07/02 4,800 5,665 New York Mortgage Agency, FLOATS, Ser. PA-870, Rev., FRDO, 1.06%, 03/07/02 5,665 5,125 New York Mortgage Agency, FLOATS, Ser. PT-1190, Rev., FRDO, 1.06%, 03/07/02 5,125
See notes to financial statements. 73 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Municipal Securities -- Continued - --------------------------------------------------------------------------------------------------- NEW YORK -- CONTINUED $ 1,485 New York Mortgage Agency, FLOATS, Ser. PT-217, Rev., FRDO, 1.13%, 03/07/02 $ 1,485 7,745 New York Mortgage Agency, FLOATS, Ser. PT-322, Rev., FRDO, 1.85%, 06/06/02 7,745 7,500 New York Mortgage Agency, Ser. B, Rev., FRDO, 2.20%, 10/01/02 7,500 4,500 New York State Dorm Authority, Beaverwyck, Inc., Rev., FRDO, 1.10%, 03/06/02 4,500 9,415 New York State Dorm Authority, FLOATS, Ser. PA-409, Rev., FRDO, AMBAC, 1.04%, 03/07/02 9,415 13,770 New York State Dorm Authority, FLOATS, Ser. PA-419, Rev., FRDO, 1.04%, 03/07/02 13,770 6,995 New York State Dorm Authority, FLOATS, Ser. PA-434, Rev., FRDO, FSA, 1.04%, 03/07/02 6,995 3,545 New York State Dorm Authority, FLOATS, Ser. PA-449, Rev., FRDO, 1.04%, 03/07/02 3,545 9,340 New York State Dorm Authority, FLOATS, Ser. PA-541, Rev., FRDO, 1.04%, 03/07/02 9,340 9,825 New York State Dorm Authority, FLOATS, Ser. PA-784, Rev., FRDO, MBIA-IBC, 1.04%, 03/07/02 9,825 950 New York State Dorm Authority, FLOATS, Ser. PT-130, Rev., FRDO, 1.04%, 03/07/02 950 2,000 New York State Dorm Authority, Municipal Securities Trust Receipts, Ser. SGA-132, Rev., FRDO, 1.12%, 03/06/02 2,002 5,645 New York State Dorm Authority, New York Public Library, Ser. A, Rev., FRDO, MBIA, 1.05%, 03/06/02 5,645 6,600 New York State Dorm Authority, New York Public Library, Ser. B, Rev., FRDO, MBIA, 1.05%, 03/06/02 6,600 2,400 New York State Dorm Authority, Oxford University Press, Inc., Rev., FRDO, 1.25%, 03/01/02 2,400 1,140 New York State Dorm Authority, Siena College, Rev., MBIA, 4.25%, 07/01/02 1,146 10,000 New York State Eagle Trust, FRDO, 1.02%, 03/07/02 10,000 9,345 New York State Energy Research & Development Authority, FLOATS, Ser. PA-411, Rev., FRDO, 1.04%, 03/07/02 9,345 10,450 New York State Energy Research & Development Authority, PCR, FLOATS, Ser. PA-450, Rev., FRDO, AMBAC, 1.04%, 03/07/02 10,450 4,700 New York State Energy Research & Development Authority, PCR, New York Electric & Gas, Ser. D. Rev., FRDO, 1.20%, 03/01/02 4,700 1,600 New York State Energy Research & Development Authority, PCR, Niagara Mohawk Power Co. Project, Ser. A, Rev., FRDO, 1.35%, 03/01/02 1,600 7,760 New York State Energy Research & Development Authority, PCR, Niagara Mohawk Power Corp. Project, Ser. A, Rev., FRDO, 1.25%, 03/01/02 7,760
See notes to financial statements. 74 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Municipal Securities -- Continued - --------------------------------------------------------------------------------------------------- NEW YORK -- CONTINUED $ 2,700 New York State Energy Research & Development Authority, PCR, Orange & Rockland Utilities Project, Ser. A, Rev., FRDO, FGIC, 1.00%, 03/06/02 $ 2,700 3,500 New York State Energy Research & Development Authority, PCR, Rochester Gas & Electric Corp., Ser. B, Rev., FRDO, MBIA, 1.00%, 03/06/02 3,500 6,900 New York State Energy Research & Development Authority, PCR, Rochester Gas & Electric Corp., Ser. C, Rev., FRDO, MBIA, 1.00%, 03/06/02 6,900 1,200 New York State Environmental Facilities Corp., OFS Equity Huntington Project, Rev., FRDO, 1.45%, 03/01/02 1,200 9,995 New York State Environmental Facilities Corp., PCR, FLOATS, Ser. PA-500R, Rev., FRDO, MBIA, 1.04%, 03/07/02 9,995 10,625 New York State Environmental Facilities Corp., PCR, FLOATS, Ser. PA-853, Rev., FRDO, 1.06%, 03/07/02 10,625 2,910 New York State Environmental Facilities Corp., Revolving Funds, Ser. C, Rev., 3.00%, 03/15/03 2,951 8,700 New York State Housing Finance Agency, 101 West End Ave. Housing, Ser. A, Rev., FRDO, 1.20%, 03/06/02 8,700 9,150 New York State Housing Finance Agency, 101 West End Ave. Housing, Ser. A, Rev., FRDO, 1.20%, 03/06/02 9,150 4,000 New York State Housing Finance Agency, 150 East 44th Street Housing, Ser. A, Rev., FRDO, 1.20%, 03/06/02 4,000 2,300 New York State Housing Finance Agency, 345 East 94th Street Housing, Ser. A, Rev., FRDO, 1.10%, 03/06/02 2,300 5,100 New York State Housing Finance Agency, 345 East 94th Street Housing, Ser. A, Rev., FRDO, 1.10%, 03/06/02 5,100 24,000 New York State Housing Finance Agency, 350 West 43rd Street Housing, Ser. A, Rev., FRDO, 1.15%, 03/06/02 24,000 1,850 New York State Housing Finance Agency, 363 West 30th Street Housing, Ser. A, Rev., FRDO, 1.15%, 03/06/02 1,850 7,000 New York State Housing Finance Agency, 66 West 38th Street Housing, Ser. A, Rev., FRDO, 1.10%, 03/06/02 7,000 7,000 New York State Housing Finance Agency, 66 West 38th Street Housing, Ser. A, Rev., FRDO, 1.10%, 03/06/02 7,000 2,495 New York State Housing Finance Agency, FLOATS, Ser. PA-143, Rev., FRDO, 1.24%, 03/07/02 2,495 8,820 New York State Housing Finance Agency, FLOATS, Ser. PA-423, Rev., FRDO, 1.04%, 03/07/02 8,820
See notes to financial statements. 75 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Municipal Securities -- Continued - --------------------------------------------------------------------------------------------------- NEW YORK -- CONTINUED $ 6,080 New York State Housing Finance Agency, FLOATS, Ser. PA-805, FRDO, FSA, 1.04%, 03/07/02 $ 6,080 4,600 New York State Housing Finance Agency, Multi-Family Housing, Second Mortgage, Ser. A, Rev., FRDO, 1.15%, 03/06/02 4,600 400 New York State Housing Finance Agency, Multi-Family Housing, Ser. A, Rev., FRDO, 1.10%, 03/06/02 400 3,300 New York State Housing Finance Agency, Multi-Family Housing, Ser. A, Rev., FRDO, AMBAC, 1.30%, 03/06/02 3,300 5,000 New York State Housing Finance Agency, Residential Housing, Ser. A, Rev., FRDO, AMBAC, 1.30%, 03/06/02 5,000 9,200 New York State Housing Finance Agency, Ser. A, Rev., FRDO, 1.13%, 03/06/02 9,200 2,000 New York State Housing Finance Agency, Ser. A, Rev., FRDO, 1.15%, 03/06/02 2,000 2,500 New York State Housing Finance Agency, Theatre Row Tower, Ser. A, Rev., FRDO, 1.15%, 03/06/02 2,500 10,000 New York State Housing Finance Agency, Theatre Row Tower, Ser. A, Rev., FRDO, 1.15%, 03/06/02 10,000 6,900 New York State Housing Finance Agency, Tribeca, Ser. A, Rev., FRDO, 1.10%, 03/06/02 6,900 4,200 New York State Housing Finance Agency, Union Square South Housing, Rev., FRDO, 1.10%, 03/06/02 4,200 6,600 New York State Housing Finance Agency, West 20th Street Housing, Ser. A, Rev., FRDO, 1.10%, 03/06/02 6,600 3,400 New York State Housing Finance Agency, West 23rd Street Housing, Ser. A, Rev., FRDO, 1.07%, 03/06/02 3,400 10,000 New York State Housing Finance Agency, Worth Street Housing, Ser. A, Rev., FRDO, 1.13%, 03/06/02 10,000 5,940 New York State Job Development Authority, Ser. A-1 through A-42, Rev., FRDO, 1.35%, 03/01/02 5,940 7,790 New York State Job Development Authority, Ser. B-1 through B-21, Rev., FRDO, 1.35%, 03/01/02 7,790 10,420 New York State Local Government Assistance Corp., Floating Rate Receipts, Ser. SG-100, Rev., FRDO, MBIA-IBC, 1.04%, 03/07/02 10,422 11,600 New York State Local Government Assistance Corp., Floating Rate Receipts, Ser. SG-99, Rev., FRDO, AMBAC, 1.04%, 03/07/02 11,600 14,925 New York State Local Government Assistance Corp., FLOATS, Ser. PT-410, Rev., FRDO, 1.04%, 03/07/02 14,925 4,045 New York State Local Government Assistance Corp., Ser. B, Rev., FRDO, 1.00%, 03/06/02 4,045 5,000 New York State Local Government Assistance Corp., Ser. D, Rev., ^, 6.75%, 04/01/02 5,115 5,000 New York State Local Government Assistance Corp., Ser. D, Rev., FRDO, 1.05%, 03/06/02 5,000
See notes to financial statements. 76 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Municipal Securities -- Continued - --------------------------------------------------------------------------------------------------- NEW YORK -- CONTINUED $ 2,800 New York State Local Government Assistance Corp., Ser. G, Rev., FRDO, 1.00%, 03/06/02 $ 2,800 1,185 New York State Medical Care Facilities Finance Agency, Floating Rate Receipts, Ser. PT-100, Rev., FRDO, 1.04%, 03/07/02 1,185 8,400 New York State Medical Care Facilities Finance Agency, FLOATS, Ser. PA-113, Rev., FRDO, 1.04%, 03/07/02 8,400 5,920 New York State Medical Care Facilities Finance Agency, FLOATS, Ser. PA-408, Rev., FRDO, FGIC, 1.04%, 03/07/02 5,920 12,125 New York State Medical Care Facilities Finance Agency, FLOATS, Ser. PA-72, Rev., FRDO, 1.06%, 03/07/02 12,125 8,140 New York State Medical Care Facilities Finance Agency, FLOATS, Ser. PA-82, Rev., FRDO, 1.06%, 03/07/02 8,191 3,390 New York State Medical Care Facilities Finance Agency, FLOATS, Ser. PT-109, Rev., FRDO, 1.06%, 03/07/02 3,390 5,500 New York State Medical Care Facilities Finance Agency, FLOATS, Ser. PT-17, Rev., FRDO, 1.04%, 03/07/02 5,500 6,885 New York State Medical Care Facilities Finance Agency, FLOATS, Ser. PT-414, FRDO, 1.75%, 06/06/02 6,885 7,500 New York State Power Authority, General Purpose, Ser. CC, Rev., ^, 5.00%, 01/01/03 7,864 10,000 New York State Thruway Authority, 1.15%, 04/04/02 10,000 54,305 New York State Thruway Authority, Floating Rate Trust Receipts, Ser. SGA-119, Rev., FRDO, 1.50%, 03/01/02 54,305 13,100 New York State Thruway Authority, Floating Rate Trust Receipts, Ser. SG-121, Rev., FRDO, 1.06%, 03/07/02 13,100 11,415 New York State Thruway Authority, FLOATS, Ser. PA-532, Rev., FRDO, 1.04%, 03/07/02 11,415 5,785 New York State Thruway Authority, Highway & Bridge Trust Fund, Ser. A, Rev., 4.00%, 04/01/02 5,789 1,340 New York State Thruway Authority, Municipal Securities Trust Receipts, Ser. SGA-66, Rev., FRDO, 1.12%, 03/06/02 1,340 1,300 New York State Thruway Authority, Rev., FRDO, FGIC, 1.30%, 03/01/02 1,300 10,400 New York State Urban Development Corp., Floating Certificates, Ser. SG-150, Rev., FRDO, MBIA-IBC, 1.04%, 03/07/02 10,400 8,865 New York State, Commissioner of General Services Executive Department, COP, 4.00%, 03/01/02 8,865 25,000 New York State, Ser. A, GO, FRDO, 1.35%, 10/10/02 25,000 15,000 Newburgh City School District, GO, RAN, 3.38%, 04/10/02 15,003
See notes to financial statements. 77 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Municipal Securities -- Continued - --------------------------------------------------------------------------------------------------- NEW YORK -- CONTINUED $ 4,995 Niagara Falls Bridge Commission, FLOATS, Ser. PA-530, Rev., FRDO, 1.04%, 03/07/02 $ 4,995 3,375 Norwich, New York, Ser. A, GO, BAN, 3.50%, 03/28/02 3,376 3,175 Oneida County IDA, Rev., FRDO, 1.30%, 03/07/02 3,175 4,400 Oneonta City School District, GO, RAN, 3.00%, 06/21/02 4,403 10,000 Oyster Bay, New York, Ser. A, GO, BAN, 2.25%, 01/24/03 10,053 5,000 Oyster Bay, New York, Ser. B, GO, BAN, 3.50%, 04/26/02 5,001 19,825 Oyster Bay, New York, Ser. B, GO, BAN, 4.00%, 04/26/02 19,853 4,710 Oyster Bay, New York, Ser. C, GO, BAN, 4.00%, 04/26/02 4,715 5,000 Oyster Bay, New York, Ser. D, GO, BAN, 3.25%, 08/23/02 5,014 7,000 Oyster Bay, New York, Ser. D, GO, BAN, 3.50%, 08/23/02 7,028 4,048 Oyster Bay, New York, Ser. E, GO, BAN, 3.25%, 08/23/02 4,059 1,179 Pamelia, New York, Sewer District No. 3, GO, BAN, 3.13%, 06/19/02 1,180 2,065 Pamelia, New York, Water District No. 5, GO, BAN, 3.13%, 06/19/02 2,067 1,245 Port Jervis IDA, The Future Home Tech, Inc., Rev., FRDO, 1.25%, 03/06/02 1,245 6,360 Poughkeepsie IDA, Senior Living Facility, Manor at Woodside Project, Rev., FRDO, 1.20%, 03/07/02 6,360 19,000 Riverhead Central School District, GO, TAN, 3.13%, 06/21/02 19,016 3,520 Rochester, New York, GO, MBIA, 5.00%, 10/01/02 3,591 675 Rockland County IDA, IDR, X Products Corp. Project, Rev., FRDO, 1.20%, 03/07/02 675 1,940 Rockland County IDA, Shock Technical, Inc. Project, Rev., FRDO, 1.30%, 03/06/02 1,940 10,000 Rome City School District, GO, RAN, 3.50%, 06/28/02 10,009 515 Rondout Valley Central School District, GO, FSA, 4.25%, 03/01/02 515 7,550 Roosevelt Union Free School District, GO, RAN, 4.25%, 06/27/02 7,574 21,710 Schenectady City School District, GO, BAN, 3.30%, 06/28/02 21,720 6,000 Schenectady City School District, GO, RAN, 3.50%, 06/28/02 6,004 9,900 Schuyler-Chemung-Tioga Cooperative Educational Services, Sole Supervisory District, Rev., RAN, 2.00%, 06/28/02 9,911 5,077 Scio Central School District, GO, BAN, 3.38%, 05/03/02 5,079 2,500 Solvay Union Free School District, GO, BAN, 3.25%, 06/27/02 2,503
See notes to financial statements. 78 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Municipal Securities -- Continued - --------------------------------------------------------------------------------------------------- NEW YORK -- CONTINUED $ 5,500 South Lewis Central School District, GO, BAN, 2.00%, 09/10/02 $ 5,511 2,000 Southeast IDA, IDR, Unilock New York, Inc. Project, Rev., FRDO, 1.30%, 03/06/02 2,000 7,100 St. Lawrence County IDA, PCR, Reynolds Metals, Rev., FRDO, 1.30%, 03/01/02 7,100 9,000 Steuben-Allegany Counties Board of Cooperative Educational Services, Sole Supervisory District, GO, RAN, 2.75%, 06/28/02 9,022 9,840 Steuben-Allegany Counties Board of Cooperative Educational Services, Sole Supervisory District, GO, RAN, 3.00%, 06/28/02 9,846 3,745 Suffolk County IDA, Civic Facilities, Guide Dog Foundation, Inc., Rev., FRDO, 1.10%, 03/07/02 3,745 10,000 Suffolk County Water Authority, Rev., BAN, FRDO, 1.10%, 03/06/02 10,000 2,600 Suffolk County Water Authority, Rev., BAN, FRDO, 1.10%, 03/06/02 2,600 15,000 Suffolk County, GO, TAN, 2.50%, 09/10/02 15,026 8,940 Suffolk County, Ser. B, GO, BAN, 2.00%, 05/15/02 8,946 5,286 Syracuse, New York, Ser. A, GO, BAN, 2.25%, 02/26/03 5,307 7,100 Syracuse, New York, Ser. A, GO, BAN, 3.38%, 05/10/02 7,103 6,000 Tompkins-Seneca-Tioga Board of Cooperative Educational Services, Sole Supervisory, Rev., RAN, 2.00%, 06/28/02 6,005 5,500 Tompkins-Seneca-Tioga Board of Cooperative Educational Services, Sole Supervisory, Rev., RAN, 3.50%, 06/28/02 5,507 55,100 Triborough Bridge & Tunnel Authority, Floating Rate Trust Receipts, Ser. N-15, Regulation D, Rev., FRDO, 1.05%, 03/06/02 55,099 400 Triborough Bridge & Tunnel Authority, Floating Rate Trust Receipts, Ser. N-17, Regulation D, Rev., FRDO, 1.05%, 03/06/02 400 4,055 Triborough Bridge & Tunnel Authority, FLOATS, Ser. PA-200, Rev., FRDO, 1.06%, 03/07/02 4,055 4,995 Triborough Bridge & Tunnel Authority, FLOATS, Ser. PA-665, Rev., FRDO, 1.06%, 03/07/02 4,995 24,790 Triborough Bridge & Tunnel Authority, FLOATS, Ser. PA-948, FRDO, 1.06%, 03/07/02 24,790 18,450 Triborough Bridge & Tunnel Authority, FLOATS, Ser. PT-427, Rev., FRDO, 1.06%, 03/07/02 18,450 4,200 Triborough Bridge & Tunnel Authority, FLOATS, Ser. SG-41, Rev., FRDO, 1.04%, 03/07/02 4,200 10,000 Triborough Bridge & Tunnel Authority, General Purpose, Ser. B, Rev., FRDO, AMBAC, 1.00%, 03/06/02 10,000
See notes to financial statements. 79 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Municipal Securities -- Continued - --------------------------------------------------------------------------------------------------- NEW YORK -- CONTINUED $12,080 Triborough Bridge & Tunnel Authority, General Purpose, Ser. C, Rev., FRDO, AMBAC, 1.00%, 03/07/02 $ 12,080 3,400 Triborough Bridge & Tunnel Authority, General Purpose, Ser. C, Rev., FRDO, AMBAC, 1.05%, 03/06/02 3,400 13,600 Triborough Bridge & Tunnel Authority, Special Obligation, Ser. C, Rev., FRDO, FSA, 1.10%, 03/06/02 13,600 5,900 Triborough Bridge & Tunnel Authority, Special Obligation, Ser. D, Rev., FRDO, FSA, 1.00%, 03/06/02 5,900 68,900 Tsasc, Inc., FLOATS, Ser. PA-797, Rev., FRDO, 1.24%, 03/07/02 68,910 10,000 Utica City School District, GO, RAN, 3.50%, 06/26/02 10,009 2,663 Utica City School District, Ser. A, GO, BAN, 2.50%, 02/14/03 2,680 5,000 Utica City School District, Ser. C, GO, BAN, 3.00%, 09/27/02 5,009 3,945 Westchester County IDA, Civic Facility, Northern Westchester Hospital, Rev., FRDO, 1.10%, 03/06/02 3,945 4,860 Westchester County IDA, Community Housing Innovations, Inc., Rev., FRDO, 1.10%, 03/07/02 4,860 8,000 Westchester County IDA, Levester Redevelopment Co. LLC, Ser. A, Rev., FRDO, 1.15%, 03/07/02 8,000 4,750 Westfield Central School District, GO, RAN, 3.25%, 06/27/02 4,752 5,000 Yates County, GO, BAN, 3.00%, 04/11/02 5,002 -------------- 2,264,644 PUERTO RICO -- 3.9% 5,695 Puerto Rico Commonwealth Highway & Transportation Authority, Ser. II-R-66, Rev., FRDO, MBIA-IBC, 1.04%, 03/07/02 5,695 360 Puerto Rico Commonwealth, FLOATS, Ser. PA-625, GO, FRDO, AMBAC, 1.02%, 03/07/02 360 400 Puerto Rico Commonwealth, FLOATS, Ser. PT-1226, FRDO, 1.02%, 03/07/02 400 76,470 Puerto Rico Commonwealth, Rev., TRAN, 3.00%, 07/30/02 76,752 8,544 Puerto Rico, Tax-Exempt, 1.25%, 05/08/02 8,544 -------------- 91,751 - --------------------------------------------------------------------------------------------------- Total Investments -- 100.0% $2,365,655 (Cost $2,365,655) * - ---------------------------------------------------------------------------------------------------
See notes to financial statements. 80 JPMorgan CALIFORNIA TAX FREE MONEY MARKET FUND PORTFOLIO OF INVESTMENTS As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- MUNICIPAL SECURITIES -- 100.0% - --------------------------------------------------------------------------------------------------- CALIFORNIA -- 93.6% $ 800 Alameda-Contra Costa School Financing Authority, Capital Improvements Financing Projects, COP, Ser. I, FRDO, AMBAC, 1.05%, 03/07/02 $ 800 2,000 Anaheim Housing Authority, Multi-Family Housing, Fountains of Anaheim Hills, Ser. A, Rev., FRDO, 4.95%, 08/01/02 2,009 1,000 California Educational Facilities Authority, Loyola Marymount University, Ser. B, Rev., FRDO, MBIA, 1.30%, 03/07/02 1,000 150 California Educational Facilities Authority, Stanford University, FLOATS, Ser. PA-542, Rev., FRDO, 1.02%, 03/07/02 150 500 California Educational Facilities Authority, University of San Francisco, Rev., FRDO, 1.35%, 03/06/02 500 1,700 California Housing Finance Agency, FLOATS, Ser. PA-539R, Rev., FRDO, 1.02%, 03/07/02 1,700 2,035 California Housing Finance Agency, FLOATS, Ser. PA-58, Rev., FRDO, 1.02%, 03/07/02 2,035 1,500 California Housing Finance Agency, Home Mortgage, Ser. I, Rev., 2.95%, 06/14/02 1,500 2,400 California Housing Finance Agency, Home Mortgage, Ser. J, Rev., FRDO, FSA, 1.20%, 03/01/02 2,400 750 California Housing Finance Agency, Home Mortgage, Ser. P, Rev., 2.67%, 08/01/02 750 900 California Housing Finance Agency, Multi-Family Housing, Ser. A, Rev., FRDO, 1.35%, 03/01/02 900 100 California Housing Finance Agency, Multi-Family Housing, Ser. A, Rev., FRDO, 1.00%, 03/06/02 100 3,200 California Housing Finance Agency, Multi-Family Housing, Ser. C, Rev., FRDO, 1.00%, 03/06/02 3,200 1,000 California Housing Finance Agency, Single Family Housing, Ser. II-R-44, Rev., FRDO, AMBAC, 1.09%, 03/07/02 1,000 1,000 California Infrastructure & Economic Development Bank, IDR, Adams Rite Manufacturing Co. Project, Ser. A, Rev., FRDO, 1.15%, 03/06/02 1,000 1,610 California Infrastructure & Economic Development Bank, IDR, Pleasant Mattress, Inc. Project, Ser. A, Rev., FRDO, 1.15%, 03/06/02 1,610 1,900 California Infrastructure & Economic Development Bank, IDR, Standard Abrasive Manufacturing Project, Ser. A, Rev., FRDO, 1.15%, 03/06/02 1,900 2,300 California PCFA, PCR, Exxon-Mobil Project, Rev., FRDO, 1.20%, 03/01/02 2,300 1,650 California PCFA, PCR, Resource Recovery, Wadham Energy LP, Ser. C, Rev., FRDO, 1.25%, 03/06/02 1,650
See notes to financial statements. 81 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Municipal Securities -- Continued - --------------------------------------------------------------------------------------------------- CALIFORNIA -- CONTINUED $2,100 California PCFA, Resource Recovery, Burney Forest Products Project, Ser. A, Rev., FRDO, 1.35%, 03/01/02 $ 2,100 100 California PCFA, Solid Waste Disposal, Gilton Solid Waste Management, Ser. A, Rev., FRDO, 1.10%, 03/07/02 100 500 California School Cash Reserve Program Authority, Ser. A, Rev., AMBAC, 4.00%, 07/03/02 502 635 California School Facilities Financing Corp., Capital Improvement Financing Project, COP, Ser. B, FRDO, 1.05%, 03/06/02 635 3,000 California State Department of Water Resources, Floating Rate Trust Receipts, Ser. K-2, Regulation D, Rev., FRDO, 1.20%, 03/06/02 3,000 2,000 California State Department of Water Resources, Floating Rate Trust Receipts, Ser. L-8, Regulation D, Rev., FRDO, FSA, 1.10%, 03/06/02 2,000 200 California State Economic Development Financing Authority, Airport Facilities, Mercury Air Group, Inc., Rev., FRDO, 1.10%, 03/07/02 200 2,000 California State Economic Development Financing Authority, IDR, Provena Foods, Inc. Project, Rev., FRDO, 1.20%, 03/06/02 2,000 1,300 California State Economic Development Financing Authority, IDR, Standard Abrasives Manufacturing Project, Rev., FRDO, 1.15%, 03/06/02 1,300 2,000 California State, Floating Rate Receipts, Ser. SG-85, GO, FRDO, FGIC, 1.11%, 03/07/02 2,000 1,900 California State, Floating Rate Receipts, Ser. SG-89, GO, FRDO, MBIA-IBC, 1.35%, 03/06/02 1,900 6,700 California State, GO, RAN, 3.25%, 06/28/02 6,729 1,000 California State, Municipal Securities Trust Receipts, Ser. SGA-40, GO, FRDO, FGIC, 1.08%, 03/06/02 1,000 1,500 California State, Municipal Securities Trust Receipts, Ser. SGA-55, GO, FRDO, FGIC, 1.08%, 03/06/02 1,500 2,000 California State, Ser. B, GO, RAN, FRDO, 1.34%, 03/07/02 2,000 2,000 California State, Ser. C, GO, RAN, FRDO, 1.50%, 03/07/02 2,000 1,960 California State, Ser. L, Class A, 1.11%, 03/07/02 1,960 3,000 California Statewide Communities Development Authority, Kaiser Permanente, Ser. A, Rev., FRDO, 2.00%, 01/02/03 3,000 1,000 California Statewide Communities Development Authority, Kaiser Permanente, Ser. B, Rev., FRDO, 2.30%, 07/01/02 1,000 4,000 California Statewide Communities Development Authority, Ser. L-23, Regulation D, Rev., FRDO, 1.20%, 03/06/02 4,000
See notes to financial statements. 82 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Municipal Securities -- Continued - --------------------------------------------------------------------------------------------------- CALIFORNIA -- CONTINUED $3,200 Colton Redevelopment Agency, Multi-Family, 1985 Issue, Ser. A, Rev., FRDO, 1.05%, 03/05/02 $ 3,200 5,000 Delano, California, COP, Ser. L-38, Regulation D, 1.10%, 03/06/02 5,001 2,300 Irvine Ranch Water District, Consolidated Bonds, Ser. A, Rev., FRDO, 1.30%, 03/01/02 2,300 3,800 Irvine, California, Improvement Bond Act of 1915, Assessment District No. 93-14, Special Assessment, FRDO, 1.30%, 03/01/02 3,800 48 Irvine, California, Improvement Bond Act of 1915, Assessment District No. 97-17, Special Assessment, FRDO, 1.30%, 03/01/02 48 2,000 Lodi, California, Electric Systems, COP, Ser. A, FRDO, MBIA, 1.00%, 03/06/02 2,000 1,000 Los Angeles Community College District, Ser. II-R-71, GO, FRDO, MBIA, 2.68%, 06/20/02 1,014 2,400 Los Angeles County Housing Authority, Multi-Family Housing, Canyon Country Villas Project, Ser. H. Rev., FRDO, 1.10%, 03/05/02 2,400 2,400 Los Angeles County Metropolitan Transportation Authority, Floating Rate Receipts, Ser. SG-54, Rev., FRDO, 1.02%, 03/07/02 2,400 2,000 Los Angeles County Metropolitan Transportation Authority, Floating Rate Receipts, Ser. SG-55, Rev., FRDO, MBIA, 1.02%, 03/07/02 2,000 100 Los Angeles County Metropolitan Transportation Authority, Proposition C, Second Ser., Ser. A, Rev., FRDO, MBIA, 1.05%, 03/07/02 100 300 Los Angeles Department of Water & Power, Waterworks, Sub Ser. B-4, Rev., FRDO, 1.00%, 03/07/02 300 580 Los Angeles Housing Authority, Multi-Family Housing, Ser. A, Rev., FRDO, 1.05%, 03/02/02 580 1,000 Los Angeles, California, Wastewater Systems, Sub Ser. A, Rev., FRDO, FGIC, 1.88%, 11/07/02 1,000 400 M-S-R Public Power Agency, San Juan Project, Sub-Lien, Ser. E, Rev., FRDO, MBIA, 1.05%, 03/07/02 400 2,250 Marysville Joint Unified School District, GO, TRAN, 3.50%, 09/20/02 2,265 500 Metropolitan Water District of Southern California, Waterworks, Ser. B, GO, 3.00%, 03/01/02 500 200 Metropolitan Water District of Southern California, Ser. A-1, GO, 5.00%, 03/01/02 200 1,400 Metropolitan Water District of Southern California, Waterworks, Ser. B-2, Rev., FRDO, 0.95%, 03/06/02 1,400 900 Metropolitan Water District of Southern California, Waterworks, Ser. B-3, Rev., FRDO, 1.30%, 03/01/02 900 1,000 Monrovia Unified School District, Municipal Securities Trust Receipt, Ser. SGA-70, GO, FRDO, MBIA, 1.08%, 03/06/02 1,000
See notes to financial statements. 83 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Municipal Securities -- Continued - --------------------------------------------------------------------------------------------------- CALIFORNIA -- CONTINUED $4,590 Newport Beach, California, Hoagan Memorial Presbyterian Hospital, Rev., FRDO, 1.20%, 03/01/02 $ 4,590 1,000 Oakland-Alameda County Coliseum Authority, Coliseum Project, Ser. C-1, Rev., FRDO, 0.90%, 03/06/02 1,000 3,000 Oceanside, California, Multi-Family Housing, Lakeridge Apartments Project, Rev., FRDO, 1.00%, 03/06/02 3,000 100 Ontario Redevelopment Agency, IDR, Safariland Project, Rev., FRDO, 1.20%, 03/06/02 100 300 Ontario Redevelopment Agency, Multi-Family Housing, Seasons at Gateway, Sub Ser. B, Rev., FRDO, 1.20%, 03/06/02 300 700 Orange County Apartment Development, Multi-Family Housing, Pointe Niguel Project, Ser. C, Rev., FRDO, 1.00%, 03/07/02 700 949 Orange County, California, Apartment Development, Multi-Family Housing, Niguel Summit 2, Ser. B, Rev., FRDO, 1.10%, 03/05/02 949 1,915 Oxnard Industrial Development Financing Authority, IDR, Accurate Engineering Project, Rev., FRDO, 1.15%, 03/06/02 1,915 1,000 Pleasant Hill Redevelopment Agency, Multi-Family Housing, Chateau III, Ser. A, Rev., FRDO, 1.25%, 03/07/02 1,000 3,900 Port of Oakland, California, Trust Receipts, Class F, Ser. K, Rev., FRDO, FGIC, 1.14%, 03/07/02 3,900 2,300 Riverside County Housing Authority, Multi-Family Housing, Emirtus Park, Ser. B, Rev., FRDO, 1.00%, 03/06/02 2,300 3,000 Riverside County, California, Riverside County Public Facilities, COP, Ser. B, FRDO, 1.05%, 03/05/02 3,000 500 Riverside County, California, Riverside County Public Facilities, COP, Ser. C, FRDO, 1.05%, 03/05/02 500 900 Riverside Unified School District, School Facility Bridge Program, COP, FRDO, FSA, 1.15%, 03/07/02 900 1,300 San Bernardino City Unified School District, School Financing Control Authority Bridge Funding Program, COP, FRDO, FSA, 1.15%, 03/07/02 1,300 550 San Bernardino County Housing Authority, Multi-Family Housing, Victoria Terrace Project, Ser. A, Rev., FRDO, 1.15%, 03/07/02 550 4,000 San Bernardino County, California, GO, TRAN, 3.75%, 07/02/02 4,028 1,400 San Diego Housing Authority, Multi-Family Housing, Nobel Courts, Rev., FRDO, 1.00%, 03/07/02 1,400 300 San Diego, California, Multi-Family Housing, Issue A, Rev., FRDO, 1.05%, 03/07/02 300 100 San Francisco City and County, Ser. 1, GO, FGIC, 4.10%, 06/15/02 100
See notes to financial statements. 84 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Municipal Securities -- Continued - --------------------------------------------------------------------------------------------------- CALIFORNIA -- CONTINUED $ 800 San Joaquin Hills Transportation Corridor Agency, Toll Road, Senior Lien, Rev., ^, 6.75%, 01/01/03 $ 851 500 San Leandro, California, Multi-Family Housing, Parkside, Ser. A, Rev., FRDO, 1.00%, 03/06/02 500 500 Santa Ana Housing Authority, Multi-Family Housing, Vintage Apartments, Ser. A, Rev., FRDO, 1.10%, 03/07/02 500 650 Santa Ana Unified School District, COP, FRDO, 1.00%, 03/06/02 650 2,500 Santa Clara County Housing Authority, Multi-Family Housing, Foxchase Apartments, Ser. E, Rev., FRDO, FGIC, 1.05%, 03/07/02 2,500 625 Santa Clara County-El Camino Hospital District, Hospital Facilities Authority, ACES, Valley Medical Center Project, Ser. B, Rev., FRDO, 1.25%, 03/05/02 625 1,000 Santa Rosa Elementary School District, GO, TRAN, 3.50%, 09/05/02 1,005 1,000 Sonoma Valley Unified School District, GO, TRAN, 3.25%, 09/05/02 1,004 1,000 South Coast Local Education Agencies, Rev., TRAN, 3.25%, 06/28/02 1,002 600 Three Valleys Municipal Water District, Miramar Water Treatment, COP, FRDO, 1.05%, 03/06/02 600 425 Upland Community Redevelopment Agency, Multi-Family Housing, Northwoods Project, Ser. 168-A, Rev., FRDO, 1.10%, 03/07/02 425 140 Ventura Unified School District, Election 1997, Ser. E, GO, MBIA, 6.50%, 08/01/02 142 1,500 West Contra Costa Unified School District, GO, TRAN, 3.25%, 08/21/02 1,506 130 Westminster Redevelopment Agency, Commercial Redevelopment Project No. 1, Tax Allocation, ^, 6.20%, 08/01/02 134 2,850 Yuba Community College District, Rev., TRAN, 2.50%, 11/28/02 2,862 2,000 Yuba County, California, GO, TRAN, 3.50%, 09/20/02 2,011 -------------- 146,387 PUERTO RICO -- 6.4% 250 Puerto Rico Commonwealth Highway & Transportation Authority, FLOATS, Ser. PA-472, Rev., FRDO, FSA, 1.02%, 03/07/02 250 1,400 Puerto Rico Commonwealth Highway & Transportation Authority, Ser. II-R-66, Rev., FRDO, MBIA-IBC, 1.04%, 03/07/02 1,400 170 Puerto Rico Commonwealth Highway & Transportation Authority, Trust Receipts, Class F, Ser. B, Rev., FRDO, MBIA, 1.09%, 03/07/02 170 300 Puerto Rico Commonwealth, FLOATS, Ser. PT-1226, FRDO, 1.02%, 03/07/02 300
See notes to financial statements. 85 As of February 28, 2002 (unaudited) (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------- Municipal Securities -- Continued - --------------------------------------------------------------------------------------------------- PUERTO RICO -- CONTINUED $4,875 Puerto Rico Commonwealth, Rev., TRAN, 3.00%, 07/30/02 $ 4,893 3,000 TICS/TOCS Trust/Puerto Rico Commonwealth, Ser. 2001-2, GO, FRDO, FSA, 1.00%, 03/07/02 3,000 -------------- 10,013 - --------------------------------------------------------------------------------------------------- Total Investments -- 100.0% $156,400 (Cost $156,400) * - ---------------------------------------------------------------------------------------------------
INDEX: * -- The cost of securities is substantially the same for federal income tax purposes. # -- Security may only be sold to qualified institutional buyers. ^ -- Security is prerefunded or escrowed to maturity. The maturity date shown is the date of the prerefunded call. ACES -- Auction Rate Securities. AMBAC -- American Municipal Bond Assurance Corp. BAN -- Bond Anticipation Notes. COP -- Certificates of Participation. DN -- Discount Note: The rate shown is the effective yield at the date of purchase. Eagles -- Earnings of accrual generated on local exempt securities. FGIC -- Financial Guaranty Insurance Corp. FLOATS -- Floating Auction Tax Exempts. FRDO -- Floating Rate Demand Obligation. The maturity date shown is the next interest reset date. The interest rate shown is the rate in effect at February 28, 2002. FRN -- Floating Rate Note. The maturity date shown is the actual maturity date. The rate shown is the rate in effect at February 28, 2002. FSA -- Financial Securities Assistance. GAN -- Grant Anticipation Notes. GIC -- Guaranteed Investment Contract. GO -- General Obligation. IBC -- Insured Bond Certificates. IDA -- Industrial Development Authority. IDB -- Industrial Development Board. IDR -- Industrial Development Revenue. MBIA -- Municipal Bond Insurance Association. MTN -- Medium Term Note. PCFA -- Pollution Control Financing Authority. PCR -- Pollution Control Revenue. PUTTERS -- Puttable Tax Exempt Receipts. RAN -- Revenue Anticipation Notes. Rev. -- Revenue Bond. Ser. -- Series. SUB -- Step-Up Bond. The maturity date shown is the earlier of the call date or the maturity date. The interest rate shown is the rate in effect at February 28, 2002. TAN -- Tax Anticipation Notes. TRAN -- Tax & Revenue Anticipation Notes. See notes to financial statements. 86 JPMorgan FUNDS STATEMENT OF ASSETS & LIABILITIES AS OF FEBRUARY 28, 2002 (UNAUDITED) (Amounts in thousands, except per share amounts)
100% U.S. TREASURY U.S. TREASURY SECURITIES GOVERNMENT PLUS MONEY MONEY MONEY MARKET MARKET MARKET FUND FUND FUND - -------------------------------------------------------------------------------------------------- ASSETS: Investment securities, at value $5,924,193 $8,502,885 $4,553,108 Cash 1 -- -- Receivables: Interest 1,066 3,934 5,690 Expense reimbursements 1 -- -- - -------------------------------------------------------------------------------------------------- Total Assets 5,925,261 8,506,819 4,558,798 - -------------------------------------------------------------------------------------------------- LIABILITIES: Payables: Due to custodian -- 2 -- Dividends 5,958 10,379 5,279 Investment securities purchased -- 24,969 -- Accrued liabilities: Investment advisory fees 453 698 335 Administration fees 362 370 218 Shareholder servicing fees 1,229 1,600 528 Distribution fees 74 206 140 Trustees' fees 821 1,489 561 Other 753 727 506 - -------------------------------------------------------------------------------------------------- Total Liabilities 9,650 40,440 7,567 - -------------------------------------------------------------------------------------------------- NET ASSETS: Paid in capital 5,915,692 8,466,432 4,551,143 Accumulated undistributed/(overdistributed) net investment income (111) (70) 74 Accumulated net realized gain on investments 30 17 14 - -------------------------------------------------------------------------------------------------- Net Assets $5,915,611 $8,466,379 $4,551,231 - -------------------------------------------------------------------------------------------------- Shares of beneficial interest outstanding ($0.001 par value; unlimited number of shares authorized) Morgan Shares 4,152,176 3,702,162 1,202,585 Premier Shares 351,743 1,111,427 973,493 Agency Shares 1,115,688 3,336,334 1,210,123 Institutional Shares 296,142 316,562 919,397 Reserve Shares -- -- 245,908 Net Asset Value, offering and redemption price per share (all classes) $ 1.00 $ 1.00 $ 1.00 - -------------------------------------------------------------------------------------------------- Cost of investments $5,924,193 $8,502,885 $4,553,108 ==================================================================================================
See notes to financial statements. 87
FEDERAL PRIME TAX FREE MONEY MONEY MONEY MARKET MARKET MARKET FUND FUND FUND - -------------------------------------------------------------------------------------------------- ASSETS: Investment securities, at value $6,438,913 $63,740,364 $7,321,267 Cash 1 -- 101 Receivables: Investment securities sold -- 300,384 -- Fund shares sold -- 1,789,225 -- Interest 4,771 134,221 29,895 - -------------------------------------------------------------------------------------------------- Total Assets 6,443,685 65,964,194 7,351,263 - -------------------------------------------------------------------------------------------------- LIABILITIES: Payables: Dividends 7,618 82,246 6,651 Investment securities purchased -- 726,500 -- Fund shares redeemed -- 1,789,213 -- Accrued liabilities: Investment advisory fees 477 5,033 579 Administration fees 381 4,293 423 Shareholder servicing fees 559 4,741 806 Distribution fees 50 184 69 Trustees' fees 241 3,076 317 Other 746 6,308 673 - -------------------------------------------------------------------------------------------------- Total Liabilities 10,072 2,621,594 9,518 - -------------------------------------------------------------------------------------------------- NET ASSETS: Paid in capital 6,433,452 63,342,624 7,342,736 Accumulated undistributed/(overdistributed) net investment income (248) (1,007) 62 Accumulated net realized gain (loss) on investments 409 983 (1,053) - -------------------------------------------------------------------------------------------------- Net Assets $6,433,613 $63,342,600 $7,341,745 - -------------------------------------------------------------------------------------------------- Shares of beneficial interest outstanding ($0.001 par value; unlimited number of shares authorized) Morgan Shares 653,267 9,518,857 857,239 Premier Shares 1,796,958 5,616,037 2,900,648 Agency Shares 917,424 16,416,017 907,329 B Shares -- 15,205 -- C Shares -- 398 -- Institutional Shares 3,066,278 30,326,008 2,677,585 Reserve Shares -- 228,425 -- Select Shares -- 1,088,412 -- Cash Management Shares -- 134,661 -- Net Asset Value, offering and redemption price per share (all classes) * $ 1.00 $ 1.00 $ 1.00 - -------------------------------------------------------------------------------------------------- Cost of investments $6,438,913 $63,740,364 $7,321,267 ==================================================================================================
*Redemption price for Class B and C Shares may be reduced by contingent deferred sales charge. See notes to financial statements. 88
NEW YORK CALIFORNIA TAX FREE TAX FREE MONEY MONEY MARKET MARKET FUND FUND - ----------------------------------------------------------------------------------------------------- ASSETS: Investment securities, at value $2,365,655 $156,400 Cash 7 75 Receivable: Interest 14,333 695 - ----------------------------------------------------------------------------------------------------- Total Assets 2,379,995 157,170 - ----------------------------------------------------------------------------------------------------- LIABILITIES: Payable: Dividends 1,752 110 Accrued liabilities: Investment advisory fees 180 12 Administration fees 108 6 Shareholder servicing fees 628 23 Distribution fees 72 12 Trustees' fees 311 13 Other 350 105 - ----------------------------------------------------------------------------------------------------- Total Liabilities 3,401 281 - ----------------------------------------------------------------------------------------------------- NET ASSETS: Paid in capital 2,376,284 156,916 Accumulated undistributed/(overdistributed) net investment income 7 (13) Accumulated net realized gain (loss) on investments 303 (14) - ----------------------------------------------------------------------------------------------------- Net Assets $2,376,594 $156,889 - ----------------------------------------------------------------------------------------------------- Shares of beneficial interest outstanding ($0.001 par value; unlimited number of shares authorized) Morgan Shares 2,370,557 156,917 Reserve Shares 5,829 -- Net Asset Value, offering and redemption price per share (all classes) $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------- Cost of investments $2,365,655 $156,400 =====================================================================================================
See notes to financial statements. 89 JPMorgan FUNDS STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED FEBRUARY 28, 2002 (UNAUDITED) (Amounts in thousands)
100% U.S. TREASURY U.S. TREASURY SECURITIES GOVERNMENT PLUS MONEY MONEY MONEY MARKET MARKET MARKET FUND FUND FUND - -------------------------------------------------------------------------------------------------- INTEREST INCOME: $68,655 $120,552 $48,046 - -------------------------------------------------------------------------------------------------- EXPENSES: Investment advisory fees 2,870 4,714 1,956 Administration fees 2,808 4,607 1,913 Shareholder servicing fees 8,356 10,732 4,275 Distribution fees 2,126 2,645 855 Custodian and accounting fees 172 283 156 Printing and postage 3 28 5 Professional fees 43 37 26 Registration fees 436 498 609 Transfer agent fees 395 345 155 Trustees' fees 29 47 20 Other 9 30 15 - -------------------------------------------------------------------------------------------------- Total expenses 17,247 23,966 9,985 - -------------------------------------------------------------------------------------------------- Less amounts waived 2,625 3,944 1,773 Less expense reimbursements 1 -- -- - -------------------------------------------------------------------------------------------------- Net expenses 14,621 20,022 8,212 - -------------------------------------------------------------------------------------------------- Net investment income 54,034 100,530 39,834 - -------------------------------------------------------------------------------------------------- REALIZED GAIN ON INVESTMENTS: Net realized gain on investment transactions 384 62 58 - -------------------------------------------------------------------------------------------------- Net increase in net assets from operations $54,418 $100,592 $39,892 ==================================================================================================
See notes to financial statements. 90
FEDERAL PRIME TAX FREE MONEY MONEY MONEY MARKET MARKET MARKET FUND FUND FUND - -------------------------------------------------------------------------------------------------- INTEREST INCOME: $77,882 $844,054 $61,121 - -------------------------------------------------------------------------------------------------- EXPENSES: Investment advisory fees 3,162 32,901 3,161 Administration fees 3,091 32,133 3,088 Shareholder servicing fees 5,460 50,418 6,128 Distribution fees 357 584 434 Custodian and accounting fees 253 2,139 221 Printing and postage 7 279 5 Professional fees 44 222 38 Registration fees 260 2,760 689 Transfer agent fees 234 2,220 176 Trustees' fees 32 329 32 Other 5 431 28 - -------------------------------------------------------------------------------------------------- Total expenses 12,905 124,416 14,000 - -------------------------------------------------------------------------------------------------- Less amounts waived 2,126 24,460 2,580 - -------------------------------------------------------------------------------------------------- Net expenses 10,779 99,956 11,420 - -------------------------------------------------------------------------------------------------- Net investment income 67,103 744,098 49,701 - -------------------------------------------------------------------------------------------------- REALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain (loss) on investment transactions 674 102 (396) - -------------------------------------------------------------------------------------------------- Net increase in net assets from operations $67,777 $744,200 $49,305 ==================================================================================================
See notes to financial statements. 91
NEW YORK CALIFORNIA TAX FREE TAX FREE MONEY MONEY MARKET MARKET FUND FUND - -------------------------------------------------------------------------------------------------- INTEREST INCOME: $21,997 $1,074 - -------------------------------------------------------------------------------------------------- EXPENSES: Investment advisory fees 1,146 63 Administration fees 1,122 61 Shareholder servicing fees 4,010 221 Distribution fees 1,148 63 Custodian and accounting fees 115 47 Professional fees 27 21 Registration fees 194 10 Transfer agent fees 189 23 Trustees' fees 11 1 Other 29 6 - -------------------------------------------------------------------------------------------------- Total expenses 7,991 516 - -------------------------------------------------------------------------------------------------- Less amounts waived 1,226 168 - -------------------------------------------------------------------------------------------------- Net expenses 6,765 348 - -------------------------------------------------------------------------------------------------- Net investment income 15,232 726 - -------------------------------------------------------------------------------------------------- REALIZED GAIN ON INVESTMENTS: Net realized gain on investment transactions 303 1 - -------------------------------------------------------------------------------------------------- Net increase in net assets from operations $15,535 $ 727 ==================================================================================================
See notes to financial statements. 92 STATEMENT OF CHANGES IN NET ASSETS FOR THE PERIODS INDICATED (UNAUDITED) (Amounts in thousands)
100% U.S. TREASURY SECURITIES U.S. GOVERNMENT MONEY MARKET FUND MONEY MARKET FUND ----------------------- ------------------------- 9/1/01 YEAR 9/1/01 YEAR THROUGH ENDED THROUGH ENDED 2/28/02 8/31/01 2/28/02 8/31/01 - ----------------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income $ 54,034 $ 249,299 $ 100,530 $ 405,412 Net realized gain (loss) on investments 384 2,293 62 252 - ----------------------------------------------------------------------------------------------------------------------------- Increase in net assets from operations 54,418 251,592 100,592 405,664 - ----------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income (54,047) (249,278) (100,592) (405,413) Net realized gain on investment transactions (1,030) (1,627) (76) (201) - ----------------------------------------------------------------------------------------------------------------------------- Total distributions to shareholders (55,077) (250,905) (100,668) (405,614) - ----------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) from capital share transactions 586,462 806,510 (703,511) 1,999,342 - ----------------------------------------------------------------------------------------------------------------------------- Total increase (decrease) in net assets 585,803 807,197 (703,587) 1,999,392 NET ASSETS: Beginning of period 5,329,808 4,522,611 9,169,966 7,170,574 - ----------------------------------------------------------------------------------------------------------------------------- End of period $5,915,611 $5,329,808 $8,466,379 $9,169,966 - ----------------------------------------------------------------------------------------------------------------------------- Accumulated undistributed (overdistributed) net investment income $ (111) $ (98) $ (70) $ (8) - ----------------------------------------------------------------------------------------------------------------------------- TREASURY PLUS FEDERAL MONEY MARKET FUND MONEY MARKET FUND ------------------------ ------------------------- 9/1/01 YEAR 9/1/01 YEAR THROUGH ENDED THROUGH ENDED 2/28/02 8/31/01 2/28/02 8/31/01 - ------------------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income $ 39,834 $ 123,865 $ $67,103 $ 86,569 Net realized gain (loss) on investments 58 (8) 674 184 - ------------------------------------------------------------------------------------------------------------------------------- Increase in net assets from operations 39,892 123,857 67,777 86,753 - ------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income (39,701) (123,864) (67,257) (86,615) Net realized gain on investment transactions -- (42) (387) (30) - ------------------------------------------------------------------------------------------------------------------------------- Total distributions to shareholders (39,701) (123,906) (67,644) (86,645) - ------------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) from capital share transactions 1,713,781 338,383 4,330,545 960,673 - ------------------------------------------------------------------------------------------------------------------------------- Total increase (decrease) in net assets 1,713,972 338,334 4,330,678 960,781 NET ASSETS: Beginning of period 2,837,259 2,498,925 2,102,935 1,142,154 - ------------------------------------------------------------------------------------------------------------------------------- End of period $4,551,231 $2,837,259 $6,433,613 $2,102,935 - ------------------------------------------------------------------------------------------------------------------------------- Accumulated undistributed (overdistributed) net investment income $ 74 $ (59) $ (248) $ (94) - -------------------------------------------------------------------------------------------------------------------------------
See notes to financial statements. 93
TAX FREE PRIME MONEY MARKET FUND MONEY MARKET FUND -------------------------- ------------------------ 9/1/01 YEAR 9/1/01 YEAR THROUGH ENDED THROUGH ENDED 2/28/02 8/31/01 2/28/02 8/31/01 - ------------------------------------------------------------------------------------------------------------------------------ INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income $ 744,098 $ 1,349,199 $ 49,701 $ 59,043 Net realized gain (loss) on investments 102 1,067 (396) (203) - ------------------------------------------------------------------------------------------------------------------------------ Increase in net assets from operations 744,200 1,350,266 49,305 58,840 - ------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income (744,959) (1,349,240) (49,601) (59,104) Net realized gain on investment transactions (35) (89) -- -- - ------------------------------------------------------------------------------------------------------------------------------ Total distributions to shareholders (744,994) (1,349,329) (49,601) (59,104) - ------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) from capital share transactions 34,060,438 16,524,717 5,398,583 289,058 - ------------------------------------------------------------------------------------------------------------------------------ Total increase in net assets 34,059,644 16,525,654 5,398,287 288,794 NET ASSETS: Beginning of period 29,282,956 12,757,302 1,943,458 1,654,664 - ------------------------------------------------------------------------------------------------------------------------------ End of period $63,342,600 $29,282,956 $7,341,745 $1,943,458 - ------------------------------------------------------------------------------------------------------------------------------ Accumulated undistributed (overdistributed) net investment income $ (1,007) $ (146) $ 62 $ (38) - ------------------------------------------------------------------------------------------------------------------------------ NEW YORK TAX FREE CALIFORNIA TAX FREE MONEY MARKET FUND MONEY MARKET FUND ------------------------ --------------------- 9/1/01 YEAR 9/1/01 YEAR THROUGH ENDED THROUGH ENDED 2/28/02 8/31/01 2/28/02 8/31/01 - ----------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income $ 15,232 $ 61,569 $ 726 $ 2,382 Net realized gain (loss) on investments 303 4 1 (3) - ----------------------------------------------------------------------------------------------------------------------- Increase in net assets from operations 15,535 61,573 727 2,379 - ----------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income (15,241) (61,588) (736) (2,382) Net realized gain on investment transactions -- (27) -- -- - ----------------------------------------------------------------------------------------------------------------------- Total distributions to shareholders (15,241) (61,615) (736) (2,382) - ----------------------------------------------------------------------------------------------------------------------- Net increase (decrease) from capital share transactions (62,430) 607,560 74,143 5,239 - ----------------------------------------------------------------------------------------------------------------------- Total increase in net assets (62,136) 607,518 74,134 5,236 NET ASSETS: Beginning of period 2,438,730 1,831,212 82,755 77,519 - ----------------------------------------------------------------------------------------------------------------------- End of period $2,376,594 $2,438,730 $156,889 $82,755 - ----------------------------------------------------------------------------------------------------------------------- Accumulated undistributed (overdistributed) net investment income $ 7 $ 16 $ (13) $ (3) - -----------------------------------------------------------------------------------------------------------------------
See notes to financial statements. 94 JPMorgan FUNDS NOTES TO FINANCIAL STATEMENTS (UNAUDITED) 1. ORGANIZATION Mutual Fund Trust (the "Trust") was organized on February 4, 1994 as a Massachusetts business trust, and is registered under the Investment Company Act of 1940 (the "1940 Act"), as amended, as an open-end, management investment company. The following are eight separate portfolios of the Trust (collectively, the "Funds").
FUND CLASSES OFFERED - ------------------------------------------------------------------------------------------ JPMorgan 100% U.S. Treasury Securities Morgan, Premier, Agency, Institutional Money Market Fund ("USTS") JPMorgan U.S. Government Money Morgan, Premier, Agency, Institutional Market Fund ("USG") JPMorgan Treasury Plus Money Morgan, Premier, Agency, Institutional Market Fund ("TP") Reserve JPMorgan Federal Money Market Morgan, Premier, Agency, Institutional Fund ("FED") JPMorgan Prime Money Market Morgan, Premier, Agency, B Shares Fund ("PRM") C Shares, Institutional, Reserve, Select, Cash Management JPMorgan Tax Free Money Market Morgan, Premier, Agency, Institutional Fund ("TF") JPMorgan New York Tax Free Money Morgan, Reserve Market Fund ("NYTF") JPMorgan California Tax Free Money Morgan Market Fund ("CTF")
All classes of shares have equal rights as to earnings, assets and voting privileges except that each class may bear different transfer agent, distribution and shareholder servicing expenses and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreement. 2. REORGANIZATIONS Prior to the open of business on September 10, 2001, the Acquiring Funds acquired all the net assets of the Target Funds, as shown in the tables below, pursuant to the Plan of Reorganization approved by the Target Funds' shareholders on July 3, 2001 and July 25, 2001. The transactions were structured for tax purposes to qualify as tax-free reorganizations under the Internal Revenue Code. Under each Reorganization Plan, shareholders of the Target Funds received shares in the Acquiring Funds with a value equal to their 95 holdings in the Target Funds. Shareholders of the Target Funds received the following class of Shares of the Acquiring Funds:
ACQUIRING SHARES TARGET FUNDS FUND RECEIVED - ------------------------------------------------------------------------------------------------ J.P. Morgan Treasury Money Market Reserves Fund TP Reserve Shares J.P. Morgan Institutional Treasury Money Market Fund TP Institutional Shares J.P. Morgan Institutional Service Treasury Money TP Premier Shares Market Fund J.P. Morgan Federal Money Market Fund FED Premier Shares J.P. Morgan Institutional Federal Money Market Fund FED Institutional Shares J.P. Morgan Institutional Service Federal Money FED Premier Shares Market Fund J.P. Morgan Prime Money Market Fund PRM Select Shares J.P. Morgan Institutional Prime Money Market Fund PRM Institutional Shares J.P. Morgan Institutional Service Prime Money PRM Premier Shares Market Fund J.P. Morgan Prime Money Market Reserves Fund PRM Reserve Shares J.P. Morgan Institutional Prime Direct Money PRM Agency Shares Market Fund J.P. Morgan Prime Cash Management Fund PRM Cash Management Shares J.P. Morgan Tax Exempt Money Market Fund TF Premier Shares J.P. Morgan Institutional Tax Exempt Money Market Fund TF Institutional Shares J.P. Morgan Institutional Service Tax Exempt Money TF Premier Shares Market Fund
96 The following is a summary of Shares Outstanding, Beneficial Interest Outstanding, Net Assets and Net Asset Value Per Share immediately before and after the Reorganizations:
JPMORGAN TREASURY PLUS MONEY MARKET FUND REORGANIZATION ------------------------------------------------------- BENEFICIAL NET ASSET INTEREST SHARES VALUE PER OUTSTANDING OUTSTANDING NET ASSETS SHARE - -------------------------------------------------------------------------------------------------------------- TARGET FUNDS Institutional Treasury Money Market Fund 310,752,024 -- $ 310,665,537 $1.00 Institutional Service Treasury Money Market Fund 507,600,238 -- 507,445,292 1.00 Treasury Money Market Reserves Fund 94,137,490 -- 94,097,641 1.00 - -------------------------------------------------------------------------------------------------------------- ACQUIRING FUND JPMorgan Treasury Plus Money Market Fund Vista Shares (Renamed Morgan Shares) 1,352,315,272 1,352,125,614 1.00 Premier Shares 325,007,736 324,991,704 1.00 Institutional Shares (Renamed Agency Shares) 965,202,328 965,225,637 1.00 - -------------------------------------------------------------------------------------------------------------- POST REORGANIZATION FUND JPMorgan Treasury Plus Money Market Fund Morgan Shares 1,352,315,272 1,352,125,614 1.00 Premier Shares 832,607,974 832,436,996 1.00 Agency Shares 965,202,328 965,225,637 1.00 Institutional Shares 310,752,024 310,665,537 1.00 Reserve Shares 94,137,490 94,097,641 1.00 - -------------------------------------------------------------------------------------------------------------- JPMORGAN FEDERAL MONEY MARKET FUND REORGANIZATION ------------------------------------------------- BENEFICIAL NET ASSET INTEREST SHARES VALUE PER OUTSTANDING OUTSTANDING NET ASSETS SHARE - -------------------------------------------------------------------------------------------------------------- TARGET FUNDS J.P. Morgan Federal Money Market Fund 1,683,861,363 -- $1,683,379,758 $1.00 J.P. Morgan Institutional Federal Money Market Fund 2,447,081,263 -- 2,447,079,483 1.00 J.P. Morgan Institutional Service Federal Money Market Fund 27,507,538 -- 27,507,865 1.00 - -------------------------------------------------------------------------------------------------------------- ACQUIRING FUND JPMorgan Federal Money Market Fund II (Renamed JPMorgan Federal Money Market Fund) Vista Shares (Renamed Morgan Shares) 657,731,953 657,736,692 1.00 Premier Shares 281,549,932 281,551,461 1.00 Institutional Shares (Renamed Agency Shares) 1,176,515,832 1,176,546,344 1.00 Reserve Shares* 1,001,055 1,001,236 1.00 - -------------------------------------------------------------------------------------------------------------- POST REORGANIZATION FUND JPMorgan Federal Money Market Fund Morgan Shares 658,733,008 658,737,928 1.00 Premier Shares 1,992,918,833 1,992,439,084 1.00 Agency Shares 1,176,515,832 1,176,546,344 1.00 Institutional Shares 2,447,081,263 2,447,079,483 1.00 - --------------------------------------------------------------------------------------------------------------
* In conjunction with the Fund Reorganization, Reserve Shares merged into Morgan Shares. 97
JPMORGAN PRIME MONEY MARKET FUND REORGANIZATION ----------------------------------------------- BENEFICIAL NET ASSET INTEREST SHARES VALUE PER OUTSTANDING OUTSTANDING NET ASSETS SHARE - -------------------------------------------------------------------------------------------------------------- TARGET FUNDS J.P. Morgan Prime Money Market Fund 2,959,208,807 -- $ 2,959,282,813 $1.00 J.P. Morgan Institutional Prime Money Market Fund 19,841,552,945 -- 19,841,087,447 1.00 J.P. Morgan Institutional Service Prime Money Market Fund 993,962,496 -- 993,883,143 1.00 J.P. Morgan Prime Cash Management Fund 139,284,658 -- 139,282,898 1.00 J.P. Morgan Institutional Prime Direct Money Market Fund 27,613,255 -- 27,613,872 1.00 J.P. Morgan Prime Money Market Reserves Fund 121,016,187 -- 121,009,281 1.00 - -------------------------------------------------------------------------------------------------------------- ACQUIRING FUND JPMorgan Prime Money Market Fund II (Renamed JPMorgan Prime Money Market Fund) Vista Shares (Renamed Morgan Shares) 10,478,091,501 10,477,967,443 1.00 B Shares Shares 17,510,823 17,501,942 1.00 C Shares Shares 303,012 303,021 1.00 Premier Shares 2,282,312,288 2,282,319,856 1.00 Institutional Shares (Renamed Agency Shares) 17,352,444,267 17,352,408,266 1.00 Reserve Shares 10,001,262 10,002,074 1.00 - -------------------------------------------------------------------------------------------------------------- POST REORGANIZATION FUND JPMorgan Prime Money Market Fund Morgan Shares 10,478,091,501 10,477,967,443 1.00 B Shares 17,510,823 17,501,942 1.00 C Shares 303,012 303,021 1.00 Premier Shares 3,276,274,784 3,276,202,999 1.00 Agency Shares 17,380,057,522 17,380,022,138 1.00 Institutional Shares 19,841,552,945 19,841,087,447 1.00 Reserve Shares 131,017,449 131,011,355 1.00 Cash Management Shares 139,284,658 139,282,898 1.00 Select Shares 2,959,208,807 2,959,282,813 1.00 - -------------------------------------------------------------------------------------------------------------- JPMORGAN TAX FREE MONEY MARKET FUND REORGANIZATION -------------------------------------------------- BENEFICIAL NET ASSET INTEREST SHARES VALUE PER OUTSTANDING OUTSTANDING NET ASSETS SHARE - --------------------------------------------------------------------------------------------------------------------- TARGET FUNDS J.P. Morgan Tax Exempt Money Market Fund 1,989,831,806 -- $1,989,763,693 $1.00 J.P. Morgan Institutional Tax Exempt Money Market Fund 1,606,636,301 -- 1,606,663,631 1.00 J.P. Morgan Institutional Service Tax Exempt Money Market Fund 62,223,947 -- 62,226,733 1.00 - --------------------------------------------------------------------------------------------------------------------- ACQUIRING FUND JPMorgan Tax Free Money Market Fund Vista Shares (Renamed Morgan Shares) 859,836,498 859,225,077 1.00 Premier Shares 119,034,150 119,019,395 1.00 Institutional Shares (Renamed Agency Shares) 887,548,019 887,450,479 1.00 Reserve Shares* 1,235 1,235 1.00 - --------------------------------------------------------------------------------------------------------------------- POST REORGANIZATION FUND JPMorgan Tax Free Money Market Fund Morgan Shares 859,837,733 859,226,312 1.00 Premier Shares 2,171,089,903 2,171,009,821 1.00 Agency Shares 887,548,019 887,450,479 1.00 Institutional Shares 1,606,636,301 1,606,663,631 1.00 - ---------------------------------------------------------------------------------------------------------------------
* In conjunction with the Fund Reorganization, Reserve Shares merged into Morgan Shares. 98 On October 20, 2000, PRM acquired all the net assets of Chase Vista Cash Management Fund (CM) pursuant to a Reorganization Plan approved by CM shareholders on October 5, 2000. The transaction was structured for tax purposes to qualify as a tax-free reorganization under the Internal Revenue Code. Under the Reorganization Plan, each shareholder of CM received shares in PRM with a value equal to their holdings in CM. Holders of Vista Class Shares in CM received Vista Class Shares in PRM, holders of Premier Class Shares in CM received Premier Class Shares in PRM and holders of Institutional Class Shares in CM received Institutional Class Shares in PRM. The following is a summary of shares outstanding, net assets and net asset values per share immediately before and after the reorganization:
AFTER BEFORE REORGANIZATION REORGANIZATION --------------------------------- --------------- CM PRM PRM -------------- -------------- --------------- Vista Shares Shares 6,780,303,378 2,020,776,873 8,801,080,251 Net Assets $6,779,513,682 $2,017,127,824 $ 8,796,641,506 Net Asset Value $1.00 $1.00 $1.00 Premier Shares Shares 383,299,637 1,852,607,948 2,235,907,585 Net Assets $ 383,301,511 $1,852,650,154 $ 2,235,951,665 Net Asset Value $1.00 $1.00 $1.00 Institutional Shares Shares 3,333,130,912 9,511,943,317 12,845,074,229 Net Assets $3,332,909,551 $9,515,447,112 $12,848,356,663 Net Asset Value $1.00 $1.00 $1.00 Reserve Shares Shares 1,211 1,211 Net Assets $ 1,211 $ 1,211 Net Asset Value $1.00 $1.00 B Shares Shares 20,765,128 20,765,128 Net Assets $ 20,763,172 $ 20,763,172 Net Asset Value $1.00 $1.00 C Shares Shares 139,800 139,800 Net Assets $ 139,808 $ 139,808 Net Asset Value $1.00 $1.00
On February 16, 2001, PRM acquired all the net assets of Chase Money Market Fund (CMMF) pursuant to a Reorganization Plan approved by CMMF shareholders on January 26, 2001. The transaction was structured for tax purposes to qualify as a tax-free reorganization under the Internal Revenue Code. Under the Reorganization Plan, each shareholder of CMMF received shares in PRM with a value equal to their holdings in CMMF. Holders of Investor Class Shares in CMMF received Vista Class Shares in PRM, holders of Premier Class Shares in CMMF received Premier Class Shares in PRM. 99 The following is a summary of shares outstanding, net assets and net asset values per share immediately before and after the reorganization:
AFTER BEFORE REORGANIZATION REORGANIZATION CMMF PRM PRM -------------- --------------- --------------- Vista Shares Shares 10,186,612,136 10,192,134,877 Net Assets $10,182,180,207 $10,187,704,072 Net Asset Value $1.00 $1.00 Premier Shares Shares 2,041,521,265 2,148,011,818 Net Assets $ 2,041,548,458 $ 2,148,063,620 Net Asset Value $1.00 $1.00 Institutional Shares Shares 18,927,279,631 18,927,279,631 Net Assets $18,930,648,847 $18,930,648,847 Net Asset Value $1.00 $1.00 Reserve Shares Shares 1,232 1,232 Net Assets $ 1,231 $ 1,231 Net Asset Value $1.00 $1.00 B Shares Shares 11,626,267 11,626,267 Net Assets $ 11,624,360 $ 11,624,360 Net Asset Value $1.00 $1.00 C Shares Shares 186,694 186,694 Net Assets $ 186,703 $ 186,703 Net Asset Value $1.00 $1.00 Investor Shares Shares 5,522,741 Net Assets $ 5,523,865 Net Asset Value $1.00 Premier Shares Shares 106,490,553 Net Assets $106,515,162 Net Asset Value $1.00
100 3. SIGNIFICANT ACCOUNTING POLICIES THE FOLLOWING IS A SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES FOLLOWED BY THE FUNDS: The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. A. VALUATION OF INVESTMENTS -- Money market instruments are valued at amortized cost which approximates market value. The Trust's use of amortized cost is subject to the Trust's compliance with certain conditions as specified under Rule 2a-7 of the 1940 Act. B. REPURCHASE AGREEMENTS -- It is each Fund's policy that repurchase agreements are fully collateralized by U.S. Treasury and Government Agency securities. All collateral is held by the Fund's custodian bank, subcustodian or a bank in which the custodian bank has entered into a subcustodian agreement or is segregated in the Federal Reserve Book Entry System. As of February 28, 2002, TP invested 12.2% of its net assets in a repurchase agreement with one issuer. If the seller of a repurchase agreement defaults and the value of the collateral declines, or if the seller enters into an insolvency proceeding, realization of the collateral may be delayed or limited. C. SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Investment transactions are accounted for as of the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on the identified cost basis. Interest income is determined on the basis of coupon interest accrued adjusted for amortization of premiums and accretion of discounts. D. FEDERAL INCOME TAXES -- Each Fund is treated as a separate taxable entity for Federal income tax purposes. The Funds' policy is to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders all of its distributable net income, including net realized gain on investments. In addition, each Fund intends to make distributions as required to avoid excise taxes. Accordingly, no provision for Federal income or excise tax is necessary. E. DISTRIBUTIONS TO SHAREHOLDERS -- Dividends and distributions paid to shareholders are recorded on the ex-dividend date. The amount of dividends and distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. To the extent these "book/tax" differences are permanent in nature (i.e., that they result from other than timing of recognition --"temporary differences"), such amounts are reclassified within the capital accounts based on their Federal income tax-basis treatment. 101 F. ALLOCATION OF INCOME AND EXPENSES -- Expenses directly attributable to a Fund are charged to that Fund; other expenses are allocated proportionately among each of the Funds within the Trust in relation to the net assets of each Fund or on another reasonable basis. Expenses directly attributable to a particular class are charged directly to such class. In calculating net asset value per share of each class, investment income, realized and unrealized gains and losses and expenses other than class specific expenses (e.g. transfer agent fees), are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day. 4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES A. INVESTMENT ADVISORY FEE -- Pursuant to an Investment Advisory Agreement with the Trust, on behalf of the Funds, J.P. Morgan Fleming Asset Management (USA) Inc. ("JPMFAM" or "Adviser") acts as the investment adviser to the Funds. JPMFAM is a direct wholly owned subsidiary of JPMorgan Chase Bank ("JPMCB") and an indirect wholly owned subsidiary of J.P. Morgan Chase & Co. As investment adviser, JPMFAM supervises the investments of each Fund and for such services is paid a fee. The fee is accrued daily and paid monthly at an annual rate equal to 0.10% of the average daily net assets for each respective Fund. B. ADMINISTRATION FEE -- Pursuant to the Administration Agreement, JPMCB (the "Administrator") provides certain administration services and facilities to each Fund at a fee accrued daily and paid monthly at the annual rate of 0.10% of the average daily net assets for complex wide money market fund assets up to $100 billion and 0.05% on assets in excess of $100 billion. Prior to September 10, 2001, the Administrator received a fee computed daily and paid monthly at the annual rate equal to 0.05% of the respective Fund's average daily net assets. Effective September 10, 2001, the Trustees approved a new combined Administration Agreement that eliminated the paying of sub-administration fees (of 0.05% of the average daily net assets of each Fund) directly by the Funds to BISYS Fund Services, L.P. ("BISYS"). In connection with the Administration Agreement, effective September 10, 2001, BISYS serves as the Funds' Sub-Administrator. For its services as Sub-Administrator, BISYS receives a portion of the fees payable to JPMCB as Administrator. 102 The Administrator has contractually agreed to reimburse the Funds to the extent that total operating expenses (excluding interest, taxes, extraordinary expenses and expenses related to the deferred compensation plan) exceed the percentages of their respective average daily net assets as shown in the table below (%):
FUND MORGAN PREMIER AGENCY CLASS B CLASS C - ------------------------------------------------------------------------------------------------ USTS 0.59 0.48 0.25 -- -- USG 0.59 0.45 0.26 -- -- TP 0.59 0.45 0.25 -- -- FED 0.70 0.45 0.26 -- -- PRM 0.59 0.45 0.26^ 1.24 1.24 TF 0.59 0.45 0.26 -- -- NYTF 0.59 -- -- -- -- CTF 0.55 -- -- -- --
FUND INSTITUTIONAL RESERVE SELECT CASH MANAGEMENT - ----------------------------------------------------------------------------------- USTS 0.20 -- -- -- USG 0.20 -- -- -- TP 0.20 0.70 -- -- FED 0.20 -- -- -- PRM 0.20 0.70 0.44 0.97 TF 0.20 -- -- -- NYTF -- 0.79 -- -- CTF -- -- -- --
The contractual expense limitation agreements were in effect beginning September 10, 2001 and the respective expiration dates in connection with the limitation percentages in the tables above are as follows:
FUND MORGAN PREMIER AGENCY CLASS B CLASS C - ------------------------------------------------------------------------------------------------ USTS 12/31/02 12/31/02 12/31/02 -- -- USG 12/31/02 12/31/02 12/31/02 -- -- TP 12/31/02 12/31/04 12/31/02 -- -- FED 12/31/02 12/31/04 12/31/02 -- -- PRM 12/31/02 12/31/04 12/31/04 12/31/02 12/31/02 TF 12/31/02 12/31/04 12/31/02 -- -- NYTF 12/31/02 -- -- -- -- CTF 12/31/02 -- -- -- --
^ The limitation percentage increases to 0.30% from 0.26% effective January 1, 2003 and will expire on December 31, 2004. 103
FUND INSTITUTIONAL RESERVE SELECT CASH MANAGEMENT - ----------------------------------------------------------------------------------- USTS 12/31/02 -- -- -- USG 12/31/02 -- -- -- TP 12/31/04 12/31/04 -- -- FED 12/31/04 -- -- -- PRM 12/31/04 12/31/04 12/31/04 12/31/04 TF 12/31/04 -- -- -- NYTF -- 12/31/02 -- -- CTF -- -- -- --
The Administrator waived fees as outlined in Note 4.E. below. C. DISTRIBUTION FEES -- Pursuant to a Distribution Agreement, J.P. Morgan Fund Distributors, Inc. ("JPMFD" or "Distributor"), a wholly-owned subsidiary of The BISYS Group, Inc., acts as the Trust's exclusive underwriter and promotes and arranges for the sale of each Fund's shares. The Trustees have adopted plans of distribution under the 1940 Act. The Distribution Plans provide that the Fund shall pay distribution fees, including payments to the Distributor, at annual rates of the average daily net assets as shown in the table below (%):
FUND MORGAN PREMIER CLASS B CLASS C RESERVE CASH MANAGEMENT - ------------------------------------------------------------------------------------------- USTS 0.10 -- -- -- -- -- USG 0.10 0.10 -- -- -- -- TP 0.10 -- -- -- 0.25 -- FED 0.10 -- -- -- -- -- PRM -- -- 0.75 0.75 0.25 0.50 TF 0.10 -- -- -- -- -- NYTF 0.10 -- -- -- 0.30 -- CTF 0.10 -- -- -- -- --
In addition, JPMFD receives any contingent deferred sales charge ("CDSC") from redemptions of Class B and C shares. The Distributor waived fees as outlined in Note 4.E. below. 104 D. SHAREHOLDER AND FUND SERVICING FEES -- The Trust has adopted a shareholder servicing agreement, pursuant to which JPMCB acts as shareholder servicing agent for its customers who are Fund investors and for other Fund investors who are customers of a financial professional. For its services, the Shareholder Servicing Agent receives a fee. The fee is accrued daily and paid monthly at an annual rate equal to a percentage of the average daily net assets a shown in the table below (%):
CASH FUND MORGAN PREMIER AGENCY CLASS B CLASS C INSTITUTIONAL RESERVE SELECT MANAGEMENT - -------------------------------------------------------------------------------------------------------- USTS 0.35 0.25 0.10 -- -- 0.10 -- -- -- USG 0.35 0.25 0.10 -- -- 0.10 -- -- -- TP 0.35 0.25 0.10 -- -- 0.10 0.25 -- -- FED 0.35 0.25 0.10 -- -- 0.10 -- -- -- PRM 0.35 0.25 0.10 0.25 0.25 0.10 0.25 0.25 0.25 TF 0.35 0.25 0.10 -- -- 0.10 -- -- -- NYTF 0.35 -- -- -- -- -- 0.35 -- -- CTF 0.35 -- -- -- -- -- -- -- --
The Funds may be sold to or through financial intermediaries who are customers of JPMCB, including financial institutions and broker-dealers, that may be paid fees by JPMCB or its affiliates for services provided to their clients that invest in the Funds. Organizations that provide recordkeeping or other services to certain employee benefit or retirement plans that include the Funds as investment alternatives may also be paid a fee. JPMCB and certain of its affiliates are the only Shareholder Servicing Agents. The Shareholder Servicing Agents have waived fees as outlined in Note 4.E. below. E. WAIVERS AND REIMBURSEMENTS -- For the six months ended February 28, 2002, the Funds' vendors waived fees and the Administrator contractually reimbursed expenses for each of the Funds as follows (amounts in thousands):
CONTRACTUAL WAIVERS ------------------------------------------------- SHAREHOLDER CONTRACTUAL FUND ADMINISTRATION SERVICING DISTRIBUTION REIMBURSEMENTS - -------------------------------------------------------------------------------------- USTS $ 633 $ 355 $1,637 $1 USG 2,230 381 1,333 -- TP 866 907 -- -- FED 561 1,565 -- -- PRM 5,555 18,905 -- -- TF 1,080 1,500 -- -- NYTF 531 5 690 -- CTF 30 138 -- --
F. OTHER -- Certain officers of the Trust are officers of J.P. Morgan Chase & Co. or of BISYS or their subsidiaries. 105 5. CLASS SPECIFIC EXPENSES The Funds' class specific expenses for the six months ended February 28, 2002 are as follows (amounts in thousands):
SHAREHOLDER SERVICING DISTRIBUTION TRANSFER AGENT - ---------------------------------------------------------------------------------------- USTS Morgan $ 7,440 $2,126 $ 363 Premier 287 -- 19 Agency 571 -- 12 Institutional 58 -- 1 - ---------------------------------------------------------------------------------------- $ 8,356 $2,126 $ 395 - ---------------------------------------------------------------------------------------- USG Morgan $ 7,179 $2,052 $ 266 Premier 1,483 593 36 Agency 1,850 -- 21 Institutional 220 -- 22 - ---------------------------------------------------------------------------------------- $10,732 $2,645 $ 345 - ---------------------------------------------------------------------------------------- TP Morgan $ 2,175 $ 621 $68 Premier 1,043 -- 38 Agency 596 -- 23 Institutional 227 -- 15 Reserve 234 234 11 - ---------------------------------------------------------------------------------------- $ 4,275 $ 855 $ 155 - ---------------------------------------------------------------------------------------- FED Morgan $ 1,250 $ 357 $ 200 Premier 2,343 -- 10 Agency 543 -- 11 Institutional 1,324 -- 13 - ---------------------------------------------------------------------------------------- $ 5,460 $ 357 $ 234 - ---------------------------------------------------------------------------------------- PRM Morgan $17,630 $-- $2,040 Premier 6,455 -- 16 Agency 9,551 -- 50 B Shares 18 54 3 C Shares 1 2 -- Institutional 15,004 -- 65 Reserve 205 205 13 Select 1,393 -- 16 Cash Management 161 323 17 - ---------------------------------------------------------------------------------------- $50,418 $ 584 $2,220 - ----------------------------------------------------------------------------------------
106
SHAREHOLDER SERVICING DISTRIBUTION TRANSFER AGENT - ---------------------------------------------------------------------------------------- TF Morgan $1,520 $ 434 $ 70 Premier 3,137 -- 59 Agency 433 -- 14 Institutional 1,038 -- 33 - ---------------------------------------------------------------------------------------- $6,128 $ 434 $176 - ---------------------------------------------------------------------------------------- NYTF Morgan $4,005 $1,144 $181 Reserve 5 4 8 - ---------------------------------------------------------------------------------------- $4,010 $1,148 $189 - ---------------------------------------------------------------------------------------- CTF Morgan $ 221 $ 63 $ 23 - ----------------------------------------------------------------------------------------
107 6. CLASS SPECIFIC DISTRIBUTIONS The Funds' class specific distributions from net investment income and realized gain on investment transactions for the six months ended February 28, 2002 are as follows (amounts in thousands):
NET INVESTMENT INCOME REALIZED GAIN - --------------------------------------------------------------------------------------- USTS Morgan $ 38,590 $ 773 Premier 2,085 37 Agency 12,324 211 Institutional 1,048 9 - --------------------------------------------------------------------------------------- $ 54,047 $1,030 - --------------------------------------------------------------------------------------- USG Morgan $ 40,795 $ 34 Premier 12,575 10 Agency 42,546 32 Institutional 4,676 -- - --------------------------------------------------------------------------------------- $100,592 $ 76 - --------------------------------------------------------------------------------------- TP Morgan $ 11,852 $ -- Premier 8,334 -- Agency 13,135 -- Institutional 4,834 -- Reserve 1,546 -- - --------------------------------------------------------------------------------------- $ 39,701 $ -- - --------------------------------------------------------------------------------------- FED Morgan $ 6,469 $ 48 Premier 18,834 119 Agency 12,444 68 Institutional 29,510 152 - --------------------------------------------------------------------------------------- $ 67,257 $ 387 - --------------------------------------------------------------------------------------- PRM Morgan $102,875 $ 7 Premier 54,809 3 Agency 226,914 14 Class B 106 -- Class C 4 -- Institutional 345,782 10 Reserve 1,466 -- Select 11,974 1 Cash Management 1,029 -- - --------------------------------------------------------------------------------------- $744,959 $ 35 - ---------------------------------------------------------------------------------------
108
NET INVESTMENT INCOME REALIZED GAIN - ----------------------------------------------------------------------------------------- TF Morgan $ 6,029 $-- Premier 18,588 -- Agency 7,322 -- Institutional 17,662 -- - ----------------------------------------------------------------------------------------- $49,601 $-- - ----------------------------------------------------------------------------------------- NYTF Morgan $15,229 $-- Reserve 12 -- - ----------------------------------------------------------------------------------------- $15,241 $-- - ----------------------------------------------------------------------------------------- CTF Morgan $ 736 $-- - -----------------------------------------------------------------------------------------
7. CONCENTRATION OF CREDIT RISK As of February 28, 2002, PRM invested 20.7% of its total investments in securities issued by institutions in the financial services industry including banks, broker dealers and insurance companies. General economic conditions, as well as exposure to credit losses arising from possible financial difficulties of borrowers, play an important role in the operation of the financial services industry. TF, NYTF and CTF invest substantially all of their assets in a diversified portfolio of debt obligations issued by states, territories and possessions of the United States and by the District of Columbia, and by their political subdivisions and duly constituted authorities, with NYTF primarily investing in issuers in the State of New York, and CTF primarily investing in issuers in the State of California. As of February 28, 2002, TF invested 14.0% of its net assets in issuers in the State of Texas. The issuers' abilities to meet their obligations may be affected by economic or political developments in a specific state or region. 8. CORPORATE EVENT On November 10, 2001, Morgan Guaranty Trust Company of New York merged with and into The Chase Manhattan Bank to create the JPMorgan Chase Bank. 109 9. CAPITAL SHARE TRANSACTIONS Capital share transactions were as follows for the periods presented (amounts in thousands):
100% U.S. TREASURY SECURITIES MONEY MARKET FUND - -------------------------------------------------------------------------------------------------------------- MORGAN SHARES ^ PREMIER SHARES --------------------------- --------------------- AMOUNT SHARES AMOUNT SHARES - -------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED FEBRUARY 28, 2002 * - -------------------------------------------------------------------------------------------------------------- Shares sold $ 5,715,975 5,715,975 $ 314,321 314,321 Shares issued in reinvestment of distributions 24,335 24,335 1,040 1,040 Shares redeemed (5,614,931) (5,614,931) (96,509) (96,509) - -------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 125,379 125,379 $ 218,852 218,852 ============================================================================================================== YEAR ENDED AUGUST 31, 2001 - -------------------------------------------------------------------------------------------------------------- Shares sold $ 13,140,511 13,140,511 $ 325,092 325,092 Shares issued in reinvestment of distributions 137,086 137,086 4,156 4,156 Shares redeemed (12,786,028) (12,786,028) (312,201) (312,201) - -------------------------------------------------------------------------------------------------------------- Net increase in Fund shares outstanding $ 491,569 491,569 $ 17,047 17,047 ============================================================================================================== - ------------------------------------------------------------------------------------------------------------ AGENCY SHARES @ INSTITUTIONAL SHARES ------------------------- --------------------- AMOUNT SHARES AMOUNT SHARES - ------------------------------------------------------------------------------------------------------------ SIX MONTHS ENDED FEBRUARY 28, 2002 * - ------------------------------------------------------------------------------------------------------------ Shares sold $ 2,813,320 2,813,320 $ 589,691 589,691 Shares issued in reinvestment of distributions 7,434 7,434 599 599 Shares redeemed (2,874,665) (2,874,665) (294,148) (294,148) - ------------------------------------------------------------------------------------------------------------ Net increase (decrease) in Fund shares outstanding $ (53,911) (53,911) $ 296,142 296,142 ============================================================================================================ YEAR ENDED AUGUST 31, 2001 - ------------------------------------------------------------------------------------------------------------ Shares sold $ 7,842,454 7,842,454 $ -- -- Shares issued in reinvestment of distributions 33,523 33,523 -- -- Shares redeemed (7,578,083) (7,578,083) -- -- - ------------------------------------------------------------------------------------------------------------ Net increase in Fund shares outstanding $ 297,894 297,894 $ -- -- ============================================================================================================
^ Formerly Vista Shares. @ Formerly Institutional Shares. * For Institutional Shares, from commencement of operations on September 10, 2001. 110 Capital share transactions were as follows for the periods presented (amounts in thousands):
U.S. GOVERNMENT MONEY MARKET FUND - ----------------------------------------------------------------------------------------------------------- MORGAN SHARES ^ PREMIER SHARES -------------------------- ------------------------- AMOUNT SHARES AMOUNT SHARES - ----------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED FEBRUARY 28, 2002 * - ----------------------------------------------------------------------------------------------------------- Shares sold $ 8,266,018 8,266,018 $ 2,349,301 2,349,301 Shares issued in reinvestment of distributions 17,183 17,183 7,859 7,859 Shares redeemed (8,731,132) (8,731,132) (2,496,929) (2,496,929) - ----------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (447,931) (447,931) $ (139,769) (139,769) =========================================================================================================== YEAR ENDED AUGUST 31, 2001 - ----------------------------------------------------------------------------------------------------------- Shares sold $ 20,843,375 20,843,375 $ 6,623,555 6,623,555 Shares issued in reinvestment of distributions 93,157 93,157 32,113 32,113 Shares redeemed (20,184,637) (20,184,637) (6,538,491) (6,538,491) - ----------------------------------------------------------------------------------------------------------- Net increase in Fund shares outstanding $ 751,895 751,895 $ 117,177 117,177 =========================================================================================================== - ------------------------------------------------------------------------------------------------------------ AGENCY SHARES @ INSTITUTIONAL SHARES --------------------------- ------------------------- AMOUNT SHARES AMOUNT SHARES - ------------------------------------------------------------------------------------------------------------ SIX MONTHS ENDED FEBRUARY 28, 2002 * - ------------------------------------------------------------------------------------------------------------ Shares sold $ 13,322,132 13,322,132 $ 2,114,095 2,114,095 Shares issued in reinvestment of distributions 24,621 24,621 3,462 3,462 Shares redeemed (13,779,126) (13,779,126) (1,800,995) (1,800,995) - ------------------------------------------------------------------------------------------------------------ Net increase (decrease) in Fund shares outstanding $ (432,373) (432,373) $ 316,562 316,562 ============================================================================================================ YEAR ENDED AUGUST 31, 2001 - ------------------------------------------------------------------------------------------------------------ Shares sold $ 29,308,896 29,308,896 $ -- -- Shares issued in reinvestment of distributions 81,549 81,549 -- -- Shares redeemed (28,260,175) (28,260,175) -- -- - ------------------------------------------------------------------------------------------------------------ Net increase in Fund shares outstanding $ 1,130,270 1,130,270 $ -- -- ============================================================================================================
^ Formerly Vista Shares. @ Formerly Institutional Shares. * For Institutional Shares, from commencement of operations on September 10, 2001. 111 Capital share transactions were as follows for the periods presented (amounts in thousands):
TREASURY PLUS MONEY MARKET FUND - --------------------------------------------------------------------------------------------------------------------------- MORGAN SHARES ^ PREMIER SHARES ---------------------------- ------------------------- AMOUNT SHARES AMOUNT SHARES - --------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED FEBRUARY 28, 2002 * - --------------------------------------------------------------------------------------------------------------------------- Shares sold $ 4,075,943 4,075,943 $ 2,220,845 2,220,845 Shares issued in connection with Fund Reorganization (Note 2) -- -- 507,445 507,600 Shares issued in reinvestment of distributions 5,747 5,747 1,349 1,349 Shares redeemed (4,446,308) (4,446,308) (2,082,496) (2,082,496) - --------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (364,618) (364,618) $ 647,143 647,298 =========================================================================================================================== YEAR ENDED AUGUST 31, 2001 - --------------------------------------------------------------------------------------------------------------------------- Shares sold $ 10,396,218 10,396,218 $ 3,622,450 3,622,450 Shares issued in reinvestment of distributions 43,920 43,920 5,895 5,895 Shares redeemed (10,239,944) (10,239,944) (3,530,256) (3,530,256) - --------------------------------------------------------------------------------------------------------------------------- Net increase in Fund shares outstanding $ 200,194 200,194 $ 98,089 98,089 =========================================================================================================================== - ------------------------------------------------------------------------------------------------------------------------ AGENCY SHARES @ INSTITUTIONAL SHARES ------------------------- ------------------------- AMOUNT SHARES AMOUNT SHARES - ------------------------------------------------------------------------------------------------------------------------ SIX MONTHS ENDED FEBRUARY 28, 2002 * - ------------------------------------------------------------------------------------------------------------------------ Shares sold $ 6,115,823 6,115,823 $ 2,796,128 2,796,128 Shares issued in connection with Fund Reorganization (Note 2) -- -- 310,665 310,752 Shares issued in reinvestment of distributions 8,832 8,832 2,999 2,999 Shares redeemed (5,858,577) (5,858,577) (2,190,482) (2,190,482) - ------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in Fund shares outstanding $ 266,078 266,078 $ 919,310 919,397 YEAR ENDED AUGUST 31, 2001 - ------------------------------------------------------------------------------------------------------------------------ Shares sold $ 9,407,909 9,407,909 $ -- -- Shares issued in reinvestment of distributions 34,515 34,515 -- -- Shares redeemed (9,402,324) (9,402,324) -- -- - ------------------------------------------------------------------------------------------------------------------------ Net increase in Fund shares outstanding $ 40,100 40,100 $ -- -- - ------------------------------------------------------------------------------------------------------------------------
RESERVE SHARES ------------------------- AMOUNT SHARES - --------------------------------------------------------------------------------------------------- SIX MONTHS ENDED FEBRUARY 28, 2002 * - --------------------------------------------------------------------------------------------------- Shares sold $ 492,907 492,907 Shares issued in connection with Fund Reorganization (Note 2) 94,097 94,137 Shares issued in reinvestment of distributions 586 586 Shares redeemed (341,722) (341,722) - --------------------------------------------------------------------------------------------------- Net increase in Fund shares outstanding $ 245,868 245,908 ===================================================================================================
^ Formerly Vista Shares. @ Formerly Institutional Shares. * For Institutional and Reserve Shares, from commencement of operations on September 10, 2001. 112 Capital share transactions were as follows for the periods presented (amounts in thousands):
FEDERAL MONEY MARKET FUND - --------------------------------------------------------------------------------------------------------------------------------- MORGAN SHARES ^ PREMIER SHARES ------------------------- ----------------------- AMOUNT SHARES AMOUNT SHARES - --------------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED FEBRUARY 28, 2002 * - --------------------------------------------------------------------------------------------------------------------------------- Shares sold $ 860,727 860,727 $ 3,900,303 3,900,303 Shares issued in connection with Fund Reorganization (Note 2) 1,001 1,001 1,710,888 1,711,369 Shares issued in reinvestment of distributions 4,560 4,560 4,282 4,282 Shares redeemed (871,343) (871,343) (4,094,081) (4,094,081) - --------------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (5,055) (5,055) $ 1,521,392 1,521,873 ================================================================================================================================= YEAR ENDED AUGUST 31, 2001 - --------------------------------------------------------------------------------------------------------------------------------- Shares sold $ 1,485,620 1,485,620 $ 407,669 407,669 Shares issued in reinvestment of distributions 22,888 22,888 13,383 13,383 Shares redeemed (1,426,792) (1,426,792) (424,807) (424,807) - --------------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 81,716 81,716 $ (3,755) (3,755) ================================================================================================================================= - --------------------------------------------------------------------------------------------------------------------------------- AGENCY SHARES @ INSTITUTIONAL SHARES ------------------------ ----------------------------- AMOUNT SHARES AMOUNT SHARES - --------------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED FEBRUARY 28, 2002 * - --------------------------------------------------------------------------------------------------------------------------------- Shares sold $ 1,119,180 1,119,180 $ 6,792,846 6,792,846 Shares issued in connection with Fund Reorganization (Note 2) -- -- 2,447,079 2,447,081 Shares issued in reinvestment of distributions 4,292 4,292 18,029 18,029 Shares redeemed (1,374,539) (1,374,539) (6,191,678) (6,191,678) - --------------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (251,067) (251,067) $ 3,066,276 3,066,278 ================================================================================================================================= YEAR ENDED AUGUST 31, 2001 - --------------------------------------------------------------------------------------------------------------------------------- Shares sold $ 3,894,947 3,894,947 $ -- -- Shares issued in reinvestment of distributions 10,627 10,627 -- -- Shares redeemed (3,023,862) (3,023,862) -- -- - --------------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 881,712 881,712 $ -- --
RESERVE SHARES --------------------------- AMOUNT SHARES - ----------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED FEBRUARY 28, 2002 - ----------------------------------------------------------------------------------------------------------- Shares sold $ -- -- Shares issued in reinvestment of distributions -- -- Shares transferred in connection with Fund Reorganization (Note 2) (1,001) (1,001) - ----------------------------------------------------------------------------------------------------------- Net decrease in Fund shares outstanding $(1,001) (1,001) =========================================================================================================== YEAR ENDED AUGUST 31, 2001 - ----------------------------------------------------------------------------------------------------------- Shares sold $ 1,000 1,000 Shares issued in reinvestment of distributions -- -- Shares redeemed -- -- - ----------------------------------------------------------------------------------------------------------- Net increase in Fund shares outstanding $ 1,000 1,000 ===========================================================================================================
^ Formerly Vista Shares. @ Formerly Institutional Shares. * For Institutional Shares, from commencement of operations on September 10, 2001. 113 Capital share transactions were as follows for the periods presented (amounts in thousands):
PRIME MONEY MARKET FUND - ------------------------------------------------------------------------------------------------------------------------- MORGAN SHARES ^ PREMIER SHARES -------------------------- --------------------------- AMOUNT SHARES AMOUNT SHARES - ------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED FEBRUARY 28, 2002 - ------------------------------------------------------------------------------------------------------------------------- Shares sold $ 17,608,834 17,608,834 $ 22,251,579 22,251,579 Shares issued in connection with Fund Reorganization (Note 2) -- -- 993,883 993,962 Shares issued in reinvestment of distributions 72,943 72,943 11,217 11,217 Shares redeemed (18,529,451) (18,529,451) (19,794,655) (19,794,655) - ------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (847,674) (847,674) $ 3,462,024 3,462,103 ========================================================================================================================= YEAR ENDED AUGUST 31, 2001 - ------------------------------------------------------------------------------------------------------------------------- Shares sold $ 38,599,182 38,599,182 $ 18,866,671 18,866,646 Shares issued in connection with the acquisition of Chase Vista Cash Management Fund (Note 2) 6,779,514 6,780,303 383,301 383,300 Shares issued in connection with the acquisition of Chase Money Market Fund (Note 2) 5,523 5,523 106,515 106,491 Shares issued in reinvestment of distributions 343,167 343,167 61,365 61,365 Shares redeemed (36,840,350) (36,840,350) (19,105,080) (19,105,080) - ------------------------------------------------------------------------------------------------------------------------- Net increase in Fund shares outstanding $ 8,887,036 8,887,825 $ 312,772 312,722 ========================================================================================================================= - -------------------------------------------------------------------------------------------------------------------- AGENCY SHARES @ B SHARES --------------------------- ---------------------- AMOUNT SHARES AMOUNT SHARES - -------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED FEBRUARY 28, 2002 - -------------------------------------------------------------------------------------------------------------------- Shares sold $ 69,391,112 69,391,164 $ 26,454 26,454 Shares issued in connection with Fund Reorganization (Note 2) 27,614 27,613 -- -- Shares issued in reinvestment of distributions 136,000 136,000 83 83 Shares redeemed (69,873,310) (69,873,348) (29,078) (29,078) - -------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (318,584) (318,571) $ (2,541) (2,541) ==================================================================================================================== YEAR ENDED AUGUST 31, 2001 - -------------------------------------------------------------------------------------------------------------------- Shares sold $ 124,034,431 124,034,434 $ 101,869 101,869 Shares issued in connection with the acquisition of Chase Vista Cash Management Fund (Note 2) 3,332,910 3,333,131 -- -- Shares issued in connection with the acquisition of Chase Money Market Fund (Note 2) -- -- -- -- Shares issued in reinvestment of distributions 606,782 606,782 524 524 Shares redeemed (120,666,278) (120,666,278) (95,588) (95,588) - -------------------------------------------------------------------------------------------------------------------- Net increase in Fund shares outstanding $ 7,307,845 7,308,069 $ 6,805 6,805 ====================================================================================================================
^ Formerly Vista Shares. 114 Capital share transactions were as follows for the periods presented (amounts in thousands):
PRIME MONEY MARKET FUND (CONTINUED) - ----------------------------------------------------------------------------------------------------------------- C SHARES INSTITUTIONAL SHARES ----------------- ----------------------------- AMOUNT SHARES AMOUNT SHARES - ----------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED FEBRUARY 28, 2002 * - ----------------------------------------------------------------------------------------------------------------- Shares sold $ 809 809 $ 213,965,024 213,965,024 Shares issued in connection with Fund Reorganization (Note 2) -- -- 19,841,087 19,841,553 Shares issued in reinvestment of distributions 3 3 137,895 137,895 Shares redeemed (717) (717) (203,618,464) (203,618,464) - ----------------------------------------------------------------------------------------------------------------- Net increase in Fund shares outstanding $ 95 95 $ 30,325,542 30,326,008 ================================================================================================================= YEAR ENDED AUGUST 31, 2001 - ----------------------------------------------------------------------------------------------------------------- Shares sold $ 1,351 1,351 $ -- -- Shares issued in reinvestment of distributions 8 8 -- -- Shares redeemed (1,100) (1,100) -- -- - ----------------------------------------------------------------------------------------------------------------- Net increase in Fund shares outstanding $ 259 259 $ -- -- ================================================================================================================= - ----------------------------------------------------------------------------------------------------------------- RESERVE SHARES SELECT SHARES -------------------- ---------------------- AMOUNT SHARES AMOUNT SHARES - ----------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED FEBRUARY 28, 2002 * - ----------------------------------------------------------------------------------------------------------------- Shares sold $ 374,601 374,601 $ 3,612,215 3,612,215 Shares issued in connection with Fund Reorganization (Note 2) 121,009 121,016 2,959,283 2,959,209 Shares issued in reinvestment of distributions 530 530 11,282 11,282 Shares redeemed (277,723) (277,723) (5,494,294) (5,494,294) - ----------------------------------------------------------------------------------------------------------------- Net increase in Fund shares outstanding $ 218,417 218,424 $ 1,088,486 1,088,412 ================================================================================================================= YEAR ENDED AUGUST 31, 2001 - ----------------------------------------------------------------------------------------------------------------- Shares sold $ 18,251 18,251 $ -- -- Shares issued in reinvestment of distributions -- -- -- -- Shares redeemed (8,251) (8,251) -- -- - ----------------------------------------------------------------------------------------------------------------- Net increase in Fund shares outstanding $ 10,000 10,000 $ -- -- =================================================================================================================
CASH MANAGEMENT SHARES ------------------------ AMOUNT SHARES - ----------------------------------------------------------------------------------------------------- SIX MONTHS ENDED FEBRUARY 28, 2002 * - ----------------------------------------------------------------------------------------------------- Shares sold $ 423,903 423,903 Shares issued in connection with Fund Reorganization (Note 2) 139,283 139,285 Shares issued in reinvestment of distributions 906 906 Shares redeemed (429,433) (429,433) - ----------------------------------------------------------------------------------------------------- Net increase in Fund shares outstanding $ 134,659 134,661 =====================================================================================================
@ Formerly Institutional Shares. * For Institutional Shares, Select Shares and Cash Management Shares, from commencement of operations on September 10, 2001. 115 Capital share transactions were as follows for the periods presented (amounts in thousands):
TAX FREE MONEY MARKET FUND - ----------------------------------------------------------------------------------------------------------------------- MORGAN SHARES ^ PREMIER SHARES ------------------------- ------------------------- AMOUNT SHARES AMOUNT SHARES - ----------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED FEBRUARY 28, 2002 * - ---------------------------------------------------------------------------------------------------------------------- Shares sold $ 1,170,414 1,170,414 $ 6,253,473 6,253,473 Shares issued in connection with Fund Reorganization (Note 2) 1 1 2,051,990 2,052,056 Shares issued in reinvestment of distributions 2,936 2,936 3,361 3,361 Shares redeemed (1,223,404) (1,223,404) (5,523,823) (5,523,823) - ---------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (50,053) (50,053) $ 2,785,001 2,785,067 ====================================================================================================================== YEAR ENDED AUGUST 31, 2001 - ---------------------------------------------------------------------------------------------------------------------- Shares sold $ 2,801,668 2,801,668 $ 313,800 313,800 Shares issued in reinvestment of distributions 13,108 13,108 1,933 1,933 Shares redeemed (2,802,028) (2,802,028) (320,151) (320,151) - ---------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 12,748 12,748 $ (4,418) (4,418) ====================================================================================================================== - ---------------------------------------------------------------------------------------------------------------------- AGENCY SHARES @ INSTITUTIONAL SHARES ------------------------ ------------------------ AMOUNT SHARES AMOUNT SHARES - ---------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED FEBRUARY 28, 2002 * - ---------------------------------------------------------------------------------------------------------------------- Shares sold $ 1,977,055 1,977,055 $ 7,267,064 7,267,064 Shares issued in connection with Fund Reorganization (Note 2) -- -- 1,606,663 1,606,636 Shares issued in reinvestment of distributions 3,675 3,675 9,343 9,343 Shares redeemed (1,994,706) (1,994,706) (6,205,458) (6,205,458) - ---------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (13,976) (13,976) $ 2,677,612 2,677,585 ====================================================================================================================== YEAR ENDED AUGUST 31, 2001 - ---------------------------------------------------------------------------------------------------------------------- Shares sold $ 5,008,019 5,008,023 $ -- -- Shares issued in reinvestment of distributions 15,717 15,717 -- -- Shares redeemed (4,743,008) (4,743,008) -- -- - ---------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 280,728 280,732 $ -- -- ======================================================================================================================
RESERVE SHARES ----------------------- AMOUNT SHARES - -------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED FEBRUARY 28, 2002 - -------------------------------------------------------------------------------------------------------------- Shares sold $ -- -- Shares issued in reinvestment of distributions -- -- Shares transferred in connection with Fund Reorganization (Note 2) (1) (1) - -------------------------------------------------------------------------------------------------------------- Net decrease in Fund shares outstanding $ (1) (1) ============================================================================================================== YEAR ENDED AUGUST 31, 2001 - -------------------------------------------------------------------------------------------------------------- Shares sold $ -- -- Shares issued in reinvestment of distributions -- -- Shares redeemed -- -- - -------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ -- -- ==============================================================================================================
^ Formerly Vista Shares. @ Formerly Institutional Shares. * For Institutional Shares, from commencement of operations on September 10, 2001. 116 Capital share transactions were as follows for the periods presented (amounts in thousands):
NEW YORK TAX FREE MONEY MARKET FUND - ------------------------------------------------------------------------------------------------------------------ MORGAN SHARES ^ RESERVE SHARES ----------------------- ------------------ AMOUNT SHARES AMOUNT SHARES - ------------------------------------------------------------------------------------------------------------------ SIX MONTHS ENDED FEBRUARY 28, 2002 - ------------------------------------------------------------------------------------------------------------------ Shares sold $ 1,827,482 1,827,482 $ 6,828 6,828 Shares issued in reinvestment of distributions 10,036 10,036 -- -- Shares redeemed (1,905,776) (1,905,776) (1,000) (1,000) - ------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in Fund shares outstanding $ (68,258) (68,258) $ 5,828 5,828 ================================================================================================================== YEAR ENDED AUGUST 31, 2001 - ------------------------------------------------------------------------------------------------------------------ Shares sold $ 4,128,849 4,128,849 $ -- -- Shares issued in reinvestment of distributions 44,695 44,695 -- -- Shares redeemed (3,565,984) (3,565,984) -- -- - ------------------------------------------------------------------------------------------------------------------ Net increase in Fund shares outstanding $ 607,560 607,560 $ -- -- ==================================================================================================================
^ Formerly Vista Shares. 117 Capital share transactions were as follows for the periods presented (amounts in thousands):
CALIFORNIA TAX FREE MONEY MARKET FUND - --------------------------------------------------------------------------------------------- MORGAN SHARES ^ ----------------------- AMOUNT SHARES - --------------------------------------------------------------------------------------------- SIX MONTHS ENDED FEBRUARY 28, 2002 - --------------------------------------------------------------------------------------------- Shares sold $ 205,564 205,564 Shares issued in reinvestment of distributions 256 256 Shares redeemed (131,677) (131,677) - --------------------------------------------------------------------------------------------- Net increase in Fund shares outstanding $ 74,143 74,143 ============================================================================================= YEAR ENDED AUGUST 31, 2001 - --------------------------------------------------------------------------------------------- Shares sold $ 262,625 262,625 Shares issued in reinvestment of distributions 919 919 Shares redeemed (258,305) (258,305) - --------------------------------------------------------------------------------------------- Net increase in Fund shares outstanding $ 5,239 5,239 =============================================================================================
^ Formerly Vista Shares. 118 JPMORGAN FUNDS FINANCIAL HIGHLIGHTS (UNAUDITED)
100% U.S. TREASURY SECURITIES MONEY MARKET FUND ------------------------------------------------------------------------------------------------ MORGAN SHARES^ PREMIER SHARES ---------------------------------------------- ----------------------------------------------- 9/1/01 YEAR ENDED AUGUST 31, 9/1/01 YEAR ENDED AUGUST 31, THROUGH ------------------------------------ THROUGH -------------------------------------- 2/28/02 2001 2000 1999 1998 1997 2/28/02 2001 2000 1999 1998 1997 ------- ------ ------ ------ ------ ------ ------- ------ ------ ------ ------ ------ Per share operating performance: Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ------- ------ ------ ------ ------ ------ ------- ------ ------ ------ ------ ------ Income from investment operations: Net investment income 0.01 0.05 0.05 0.04 0.05 0.05 0.01 0.05 0.05 0.04 0.05 0.05 Less dividends from net investment income 0.01 0.05 0.05 0.04 0.05 0.05 0.01 0.05 0.05 0.04 0.05 0.05 ------ ------- ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ Net asset value, end of period $ 1.00 $ 1.00 $1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ====== ======= ====== ====== ====== ====== ===== ====== ====== ====== ====== ====== Total return 0.93% 4.75% 5.02% 4.31% 4.92% 4.87% 0.99% 4.84% 5.12% 4.40% 5.00% 4.91% Ratios/supplemental data: Net assets, end of period (millions) $4,152 $4,027 $3,535 $3,312 $3,051 $2,376 $ 352 $ 133 $ 116 $ 24 $ 22 $ 6 Ratios to average net assets: # Expenses 0.59% 0.59% 0.59% 0.59% 0.59% 0.59% 0.48% 0.48% 0.49% 0.50% 0.51% 0.55% Net investment income 1.81% 4.59% 4.92% 4.15% 4.78% 4.74% 1.81% 4.70% 5.02% 4.22% 4.99% 4.80% Expenses without waivers, reimbursements and earnings credits 0.69% 0.71% 0.71% 0.71% 0.71% 0.71% 0.50% 0.52% 0.53% 0.56% 0.78% 0.80% Net investment income without waivers, reimbursements and earnings credits 1.71% 4.47% 4.80% 4.03% 4.66% 4.62% 1.79% 4.66% 4.98% 4.16% 4.72% 4.55% - ------------------------------------------------------------------------------------------------------------------------------------
^ Formerly Vista Shares. # Short periods have been annualized. See notes to financial statements. 119
100% U.S. TREASURY SECURITIES MONEY MARKET FUND ---------------------------------------------------------------- INSTITUTIONAL AGENCY SHARES@ SHARES ------------------------------------------------ ------------- 9/1/01 YEAR ENDED AUGUST 31, 9/10/01* through ---------------------------------------- through 2/28/02 2001 2000 1999 1998 1997 2/28/02 ------- ------- ------ ------ ------ ------ ------------- Per share operating performance: Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ------ ------- ------ ------ ------ ------ ------ Income from investment operations: Net investment income 0.01 0.05 0.05 0.05 0.05 0.05 0.01 Less dividends from net investment income 0.01 0.05 0.05 0.05 0.05 0.05 0.01 ------ ------- ------ ------ ------ ------ ------ Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ====== ======= ====== ====== ====== ====== ====== Total return 1.10% 5.11% 5.38% 4.67% 5.30% 5.20% 1.03% Ratios/supplemental data: Net assets, end of period (millions) $1,116 $ 1,170 $ 872 $ 895 $1,796 $ 81 $ 296 Ratios to average net assets: # Expenses 0.25% 0.25% 0.25% 0.24% 0.21% 0.27% 0.20% Net investment income 2.16% 4.93% 5.26% 4.51% 5.13% 5.06% 1.80% Expenses without waivers, reimbursements and earnings credits 0.33% 0.35% 0.34% 0.32% 0.25% 0.27% 0.32% Net investment income without waivers, reimbursements and earnings credits 2.08% 4.83% 5.17% 4.43% 5.09% 5.06% 1.68% - -------------------------------------------------------------------------------------------------------------------
@ Formerly Institutional Shares. * Commencement of offering of class of shares. # Short periods have been annualized. See notes to financial statements. 120
U.S. GOVERNMENT MONEY MARKET FUND ------------------------------------------------------------------------------------------------ Morgan Shares^ Premier Shares ----------------------------------------------- ----------------------------------------------- 9/1/01 YEAR ENDED AUGUST 31, 9/1/01 YEAR ENDED AUGUST 31, THROUGH -------------------------------------- THROUGH -------------------------------------- 2/28/02 2001 2000 1999 1998 1997 2/28/02 2001 2000 1999 1998 1997 ------- ------ ------ ------ ------ ------ ------- ------ ------ ------ ------ ------ Per share operating performance: Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ------ ------- ------ ------- ------- ------- ------- ------ ------- ------ ------- ------ Income from investment operations: Net investment income 0.01 0.05 0.05 0.04 0.05 0.05 0.01 0.05 0.05 0.05 0.05 0.05 Less dividends from net investment income 0.01 0.05 0.05 0.04 0.05 0.05 0.01 0.05 0.05 0.05 0.05 0.05 ------ ------- ------ ------- ------- ------- ------- ------ ------- ------ ------- ------ Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ====== ======= ====== ======= ======= ======= ======= ====== ======= ====== ======= ====== Total return 0.99% 4.93% 5.48% 4.55% 5.14% 5.04% 1.06% 5.08% 5.62% 4.70% 5.25% 5.08% Ratios/supplemental data: Net assets, end of period (millions) $3,702 $4,150 $3,398 $3,538 $3,033 $2,139 $1,111 $1,251 $ 1,134 $ 922 $ 1,084 $ 837 Ratios to average net assets: # Expenses 0.59% 0.59% 0.59% 0.59% 0.59% 0.59% 0.45% 0.45% 0.45% 0.45% 0.48% 0.55% Net investment income 1.99% 4.80% 5.35% 4.46% 5.01% 4.93% 2.12% 4.95% 5.50% 4.60% 5.12% 4.97% Expenses without waivers, reimbursements and earnings credits 0.68% 0.69% 0.69% 0.69% 0.70% 0.72% 0.57% 0.59% 0.58% 0.58% 0.60% 0.60% Net investment income without waivers, reimbursements and earnings credits 1.90% 4.70% 5.25% 4.36% 4.90% 4.80% 2.00% 4.81% 5.37% 4.47% 5.00% 4.92% - ------------------------------------------------------------------------------------------------------------------------------------
^ Formerly Vista Shares. # Short periods have been annualized. See notes to financial statements. 121
U.S. GOVERNMENT MONEY MARKET FUND ---------------------------------------------------------------- INSTITUTIONAL AGENCY SHARES@ SHARES ------------------------------------------------ ------------- 9/1/01 YEAR ENDED AUGUST 31, 9/10/01* THROUGH --------------------------------------- THROUGH 2/28/02 2001 2000 1999 1998 1997 2/28/02 ------- ------- ------ ------ ------ ------ ------------- Per share operating performance: Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ------- ------- ------ ------- ------ ------ ------------- Income from investment operations: Net investment income 0.01 0.05 0.06 0.05 0.05 0.05 0.01 Less dividends from net investment income 0.01 0.05 0.06 0.05 0.05 0.05 0.01 ------- ------- ------ ------- ------ ------ ------------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ======= ======= ====== ======= ====== ====== ============= Total return 1.16% 5.28% 5.83% 4.92% 5.51% 5.40% 1.10% Ratios/supplemental data: Net assets, end of period (millions) $ 3,336 $ 3,769 $2,639 $ 2,913 $2,797 $2,955 $ 317 Ratios to average net assets: # Expenses 0.26% 0.26% 0.26% 0.25% 0.24% 0.24% 0.20% Net investment income 2.30% 5.09% 5.66% 4.80% 5.36% 5.29% 2.13% Expenses without waivers, reimbursements and earnings credits 0.32% 0.33% 0.33% 0.31% 0.24% 0.24% 0.33% Net investment income without waivers, reimbursements and earnings credits 2.24% 5.02% 5.59% 4.74% 5.36% 5.29% 2.00% - --------------------------------------------------------------------------------------------------------------------
@ Formerly Institutional Shares. * Commencement of offering of class of shares. # Short periods have been annualized. See notes to financial statements. 122
TREASURY PLUS MONEY MARKET FUND ------------------------------------------------------------------------------------------------- MORGAN SHARES^ PREMIER SHARES ----------------------------------------------- ----------------------------------------------- 9/1/01 YEAR ENDED AUGUST 31, 9/1/01 YEAR ENDED AUGUST 31, THROUGH -------------------------------------- THROUGH -------------------------------------- 2/28/02 2001 2000 1999 1998 1997 2/28/02 2001 2000 1999 1998 1997 ------- ------ ------ ------ ------ ------ ------- ------ ------ ------ ------ ------ Per share operating performance: Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ Income from investment operations: Net investment income 0.01 0.05 0.05 0.04 0.05 0.05 0.01 0.05 0.05 0.04 0.05 0.05 Less dividends from net Investment income 0.01 0.05 0.05 0.04 0.05 0.05 0.01 0.05 0.05 0.04 0.05 0.05 ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ====== ====== ====== ====== ====== ====== ====== ====== ====== ====== ====== ====== Total return 0.94% 4.77% 5.29% 4.39% 5.05% 4.89% 1.01% 4.91% 5.44% 4.54% 5.18% 4.98% Ratios/supplemental data: Net assets, end of period (millions) $1,203 $1,567 $1,367 $1,734 $1,316 $1,606 $ 973 $ 326 $ 228 $ 476 $ 155 $ 131 Ratios to average net assets: # Expenses 0.59% 0.59% 0.59% 0.59% 0.59% 0.59% 0.45% 0.45% 0.45% 0.45% 0.46% 0.51% Net investment income 1.92% 4.70% 5.14% 4.27% 4.92% 4.79% 2.00% 4.84% 5.28% 4.42% 5.06% 4.88% Expenses without waivers, reimbursements and earnings credits 0.70% 0.72% 0.71% 0.69% 0.70% 0.70% 0.50% 0.52% 0.51% 0.50% 0.50% 0.53% Net investment income without waivers,reimbursements and earnings credits 1.81% 4.57% 5.02% 4.17% 4.81% 4.68% 1.95% 4.77% 5.22% 4.37% 5.02% 4.86% - ------------------------------------------------------------------------------------------------------------------------------------
^ Formerly Vista Shares. # Short periods have been annualized. See notes to financial statements. 123
TREASURY PLUS MONEY MARKET FUND ----------------------------------------------------------------------------------- INSTITUTIONAL RESERVE AGENCY SHARES@ SHARES SHARES ---------------------------------------------------------- ------------- --------- 9/1/01 YEAR ENDED AUGUST 31, 9/10/01* 9/10/01* THROUGH --------------------------------------------- THROUGH THROUGH 2/28/02 2001 2000 1999 1998 1997 2/28/02 2/28/02 ------- ------ ------ ------ ------ ------ ------------- --------- Per share operating performance: Net asset value, beginning of period $ 1.00 $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 ------- ------ ------ ------ ------ ------ ----- ----- Income from investment operations: Net investment income 0.01 0.05 0.06 0.05 0.05 0.05 0.01 0.01 Less dividends from net investment income 0.01 0.05 0.06 0.05 0.05 0.05 0.01 0.01 ------- ------ ------ ------ ------ ------ ----- ----- Net asset value, end of period $ 1.00 $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 ======= ====== ====== ====== ====== ====== ===== ====== Total return 1.11% 5.12% 5.65% 4.75% 5.44% 5.24% 1.06% 0.82% Ratios/supplemental data: Net assets, end of period (millions) $1,210 $ 944 $ 904 $ 980 $ 876 $ 292 $ 919 $ 246 Ratios to average net assets: # Expenses 0.25% 0.25% 0.25% 0.24% 0.21% 0.26% 0.20% 0.70% Net investment income 2.21% 5.04% 5.48% 4.61% 5.29% 5.16% 2.13% 1.66% Expenses without waivers, reimbursements and earnings credits 0.34% 0.36% 0.36% 0.31% 0.25% 0.26% 0.35% 0.75% Net investment income without waivers, reimbursements and earnings credits 2.12% 4.93% 5.37% 4.54% 5.25% 5.16% 1.98% 1.61% - ---------------------------------------------------------------------------------------------------------------------------------
@ Formerly Institutional Shares. * Commencement of offering of class of shares. # Short periods have been annualized. See notes to financial statements. 124
FEDERAL MONEY MARKET FUND ------------------------------------------------------- MORGAN SHARES^ ------------------------------------------------------- 9/1/01 YEAR ENDED AUGUST 31, THROUGH ---------------------------------------------- 2/28/02 2001 2000 1999 1998 1997 ------- ------- ------- ------- -------- -------- Per share operating performance: Net asset value, beginning of period $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 ------- ------- ------- ------- -------- -------- Income from investment operations: Net investment income 0.01 0.05 0.05 0.04 0.05 0.05 Less dividends from Net investment income 0.01 0.05 0.05 0.04 0.05 0.05 ------- ------- ------- ------- -------- -------- Net asset value, end of period $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 ======= ======= ======= ======= ======== ======== Total return 0.91% 4.84% 5.29% 4.46% 4.94% 4.91% Ratios/supplemental data: Net assets, end of period (millions) $653 $ 658 $ 576 $ 550 $ 359 $ 301 Ratios to average net assets: # Expenses 0.70% 0.70% 0.70% 0.70% 0.70% 0.70% Net investment income 1.81% 4.57% 5.17% 4.35% 4.88% 4.79% Expenses without waivers, reimbursements and earnings credits 0.73% 0.74% 0.75% 0.78% 0.84% 0.82% Net investment income without waivers, reimbursements and earnings credits 1.78% 4.53% 5.12% 4.27% 4.74% 4.67% FEDERAL MONEY MARKET FUND ------------------------------------------------------- PREMIER SHARES ------------------------------------------------------- 9/1/01 YEAR ENDED AUGUST 31, THROUGH ---------------------------------------------- 2/28/02 2001 2000 1999 1998 1997 ------- ------- ------- ------- -------- -------- Per share operating performance: Net asset value, beginning of period $ 1.00 $1.00 $1.00 $1.00 $1.00 $1.00 ------- ------- ------- ------- -------- -------- Income from investment operations: Net investment income 0.01 0.05 0.05 0.05 0.05 0.05 Less dividends from Net investment income 0.01 0.05 0.05 0.05 0.05 0.05 ------- ------- ------- ------- -------- -------- Net asset value, end of period $ 1.00 $1.00 $1.00 $1.00 $1.00 $1.00 ======= ======= ======= ======= ======== ======== Total return 1.04% 5.07% 5.50% 4.67% 5.22% 5.12% Ratios/supplemental data: Net assets, end of period (millions) $1,797 $ 276 $ 279 $ 298 $ 313 $ 400 Ratios to average net assets: # Expenses 0.45% 0.49% 0.50% 0.50% 0.50% 0.50% Net investment income 1.99% 4.78% 5.35% 4.56% 5.07% 5.01% Expenses without waivers, reimbursements and earnings credits 0.47% 0.49% 0.50% 0.50% 0.51% 0.52% Net investment income without waivers, reimbursements and earnings credits 1.97% 4.78% 5.35% 4.56% 5.06% 4.99%
^ Formerly Vista Shares. # Short periods have been annualized. See notes to financial statements. 125
FEDERAL MONEY MARKET FUND --------------------------------------------------------------------------- INSTITUTIONAL AGENCY SHARES@ SHARES ----------------------------------------------------------- ------------- 9/1/01 YEAR ENDED AUGUST 31, 9/10/01* THROUGH ------------------------------------------------ THROUGH 2/28/02 2001 2000 1999 1998 1997 2/28/02 ------- -------- -------- -------- -------- -------- ---------- Per share operating performance: Net asset value, beginning of period $1.00 $ 1.00 $1.00 $1.00 $1.00 $1.00 $ 1.00 ------- -------- -------- -------- -------- -------- -------- Income from investment operations: Net investment income 0.01 0.05 0.06 0.05 0.05 0.05 0.01 Less dividends from net investment income 0.01 0.05 0.06 0.05 0.05 0.05 0.01 ------- -------- -------- -------- -------- -------- -------- Net asset value, end of period $1.00 $ 1.00 $1.00 $1.00 $1.00 $1.00 $ 1.00 ======= ======= ======== ======== ======== ======== Total return 1.13% 5.30% 5.75% 4.92% 5.46% 5.35% 1.07% Ratios/supplemental data: Net assets, end of period (millions) $ 918 $1,169 $ 287 $ 248 $ 198 $ 131 $3,066 Ratios to average net assets: # Expenses 0.26% 0.26% 0.26% 0.26% 0.27% 0.27% 0.20% Net Investment Income 2.29% 5.01% 5.61% 4.79% 5.32% 5.23% 2.22% Expenses without waivers, reimbursements and earnings credits 0.32% 0.34% 0.34% 0.34% 0.27% 0.27% 0.32% Net investment income without waivers, reimbursements and earnings credits 2.23% 4.93% 5.53% 4.71% 5.32% 5.23% 2.10%
@ Formerly Institutional Shares. * Commencement of offering of class of shares. # Short periods have been annualized. See notes to financial statements. 126
PRIME MONEY MARKET FUND ------------------------------------------ MORGAN SHARES^ ------------------------------------------ 9/1/01 YEAR ENDED 10/1/98* THROUGH ------------------ THROUGH 2/28/02 08/31/01 08/31/00 8/31/99 ------- -------- -------- -------- Per share operating performance: Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 ------- -------- -------- -------- Income from investment operations: Net investment income 0.01 0.05 0.06 0.04 Less dividends from net investment income 0.01 0.05 0.06 0.04 ------- -------- -------- -------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 ======= ======== ======== ======== Total return 1.02% 5.10% 5.65% 4.26% Ratios/supplemental data: Net assets, end of period (millions) $9,519 $10,367 $1,475 $ 515 Ratios to average net assets: # Expenses 0.59% 0.59% 0.59% 0.59% Net investment income 2.04% 4.82% 5.53% 4.61% Expenses without waivers, reimbursements and earnings credits 0.61% 0.61% 0.61% 0.72% Net investment income without waivers, reimbursements and earnings credits 2.02% 4.80% 5.51% 4.48% PRIME MONEY MARKET FUND ------------------------------------------------------------- PREMIER SHARES ------------------------------------------------------------- 9/1/01 YEAR ENDED AUGUST 31, THROUGH ------------------------------------------------- 2/28/02 2001 2000 1999 1998 1997 --------- -------- -------- -------- ------- ------- Per share operating performance: Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $1.00 $1.00 --------- -------- -------- -------- ------- ------- Income from investment operations: Net investment income 0.01 0.05 0.06 0.05 0.05 0.05 Less dividends from net investment income 0.01 0.05 0.06 0.05 0.05 0.05 --------- -------- -------- -------- ------- ------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $1.00 $1.00 ========= ======== ======== ======== ======= ======= Total return 1.09% 5.25% 5.81% 4.90% 5.44% 5.34% Ratios/supplemental data: Net assets, end of period (millions) $5,616 $2,153 $1,841 $1,094 $ 590 $ 499 Ratios to average net assets: # Expenses 0.45% 0.45% 0.45% 0.45% 0.45% 0.45% Net investment income 2.12% 4.96% 5.67% 4.77% 5.29% 5.17% Expenses without waivers, reimbursements and earnings credits 0.47% 0.49% 0.49% 0.49% 0.51% 0.53% Net investment income without waivers, reimbursements and earnings credits 2.10% 4.92% 5.63% 4.73% 5.23% 5.09%
^ Formerly Vista Shares. * Commencement of offering of class of shares. # Short periods have been annualized. See notes to financial statements. 127
PRIME MONEY MARKET FUND -------------------------------------------------------- AGENCY SHARES @ -------------------------------------------------------- 9/1/01 YEAR ENDED AUGUST 31, THROUGH ----------------------------------------------- 2/28/02 2001 2000 1999 1998 1997 ------- ------- ------- ------- -------- -------- Per share operating performance: Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ------- ------- ------- ------- -------- -------- Income from investment operations: Net investment income 0.01 0.05 0.06 0.05 0.06 0.05 Less dividends from net investment income 0.01 0.05 0.06 0.05 0.06 0.05 ------- ------- ------- ------- -------- -------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ======= ======= ======= ======= ======== ======== Total return 1.18% 5.45% 6.01% 5.10% 5.65% 5.49% Ratios/supplemental data: Net assets, end of period (millions) $16,416 $16,676 $9,430 $8,161 $4,722 $1,348 Ratios to average net assets: # Expenses 0.26% 0.26% 0.26% 0.26% 0.24% 0.25% Net investment income 2.37% 5.15% 5.86% 4.96% 5.50% 5.37% Expenses without waivers, reimbursements and earnings credits 0.32% 0.33% 0.33% 0.33% 0.24% 0.25% Net investment income without waivers, reimbursements and earnings credits 2.31% 5.08% 5.79% 4.89% 5.50% 5.37% PRIME MONEY MARKET FUND -------------------------------------------------------- B SHARES -------------------------------------------------------- 9/1/01 YEAR ENDED AUGUST 31, THROUGH ---------------------------------------------- 2/28/02 2001 2000 1999 1998 1997 -------- ------- -------- -------- ------- -------- Per share operating performance: Net asset value, beginning of period $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 -------- ------- -------- -------- ------- -------- Income from investment operations: Net investment income 0.01 0.04 0.05 0.04 0.05 0.04 Less dividends from net investment income 0.01 0.04 0.05 0.04 0.05 0.04 -------- ------- -------- -------- ------- -------- Net asset value, end of period $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 ======== ======= ======== ======== ======= ======== Total return 0.69% 4.43% 4.97% 4.07% 4.60% 4.33% Ratios/supplemental data: Net assets, end of period (millions) $ 15 $ 18 $ 11 $ 36 $ 29 $ 10 Ratios to average net assets: # Expenses 1.24% 1.24% 1.25% 1.25% 1.25% 1.35% Net investment income 1.46% 4.17% 4.87% 4.00% 4.49% 4.27% Expenses without waivers, reimbursements and earnings credits 1.26% 1.26% 1.27% 1.47% 1.50% 1.53% Net investment income without waivers, reimbursements and earnings credits 1.44% 4.15% 4.85% 3.78% 4.24% 4.09%
@ Formerly Institutional Shares. # Short periods have been annualized. See notes to financial statements. 128
PRIME MONEY MARKET FUND ------------------------------------------------------------- INSTITUTIONAL C SHARES SHARES ----------------------------------------------- ------------- 9/1/01 YEAR ENDED AUGUST 31, 5/14/98* 9/10/01* THROUGH -------------------------- THROUGH THROUGH 2/28/02 2001 2000 1999 8/31/98 2/28/02 -------- ------- ------- ------- -------- --------- Per share operating performance: Net asset value, beginning of period $1.00 $1.00 $1.00 $1.00 $1.00 $ 1.00 -------- ------- ------- ------- -------- --------- Income from investment operations: Net investment income 0.01 0.04 0.05 0.04 0.01 0.01 Less dividends from net investment income 0.01 0.04 0.05 0.04 0.01 0.01 -------- ------- ------- ------- -------- --------- Net asset value, end of period $1.00 $1.00 $1.00 $1.00 $1.00 $ 1.00 ======== ======= ======= ======= ======== ========= Total return 0.69% 4.43% 4.95% 3.85% 1.29% 1.12% Ratios/supplemental data: Net assets, end of period (millions) $ + $ + $ + $ 1 $ 1 $30,325 Ratios to average net assets: # Expenses 1.24% 1.24% 1.26% 1.45% 1.50% 0.20% Net investment income 1.52% 4.17% 4.86% 3.75% 4.21% 2.30% Expenses without waivers, reimbursements and earnings credits 1.26% 1.26% 1.26% 1.45% 1.50% 0.32% Net investment income without waivers, reimbursements and earnings credits 1.50% 4.15% 4.86% 3.75% 4.21% 2.18% PRIME MONEY MARKET FUND ------------------------------------------------------------- CASH MANAGEMENT RESERVE SHARES SELECT SHARES SHARES ----------------------------- ------------- --------------- 9/1/01 YEAR 07/31/00* 9/10/01* 9/10/01* THROUGH ENDED THROUGH THROUGH THROUGH 2/28/02 08/31/01 08/31/00 2/28/02 2/28/02 -------- -------- --------- ------------- --------------- Per share operating performance: Net asset value, beginning of period $1.00 $1.00 $1.00 $ 1.00 $1.00 -------- -------- --------- ------------- --------------- Income from investment operations: Net investment income 0.01 0.05 0.01 0.01 0.01 Less dividends from net investment income 0.01 0.05 0.01 0.01 0.01 -------- -------- --------- ------------- --------------- Net asset value, end of period $1.00 $1.00 $1.00 $ 1.00 $1.00 ======== ======== ========= ============= =============== Total return 0.96% 4.88% 0.50% 1.01% 0.76% Ratios/supplemental data: Net assets, end of period (millions) $ 228 $ 10 $ + $1,089 $ 135 Ratios to average net assets: # Expenses 0.70% 0.79% 0.79% 0.44% 0.97% Net investment income 1.78% 4.62% 5.33% 2.15% 1.59% Expenses without waivers, reimbursements and earnings credits 0.73% 2.17% 1.45% 0.47% 1.00% Net investment income without waivers, reimbursements and earnings credits 1.75% 3.24% 4.67% 2.12% 1.56%
* Commencement of offering of class of shares. # Short periods have been annualized. + Amount rounds to less than one million. See notes to financial statements. 129
TAX FREE MONEY MARKET FUND ------------------------------------------------------- MORGAN SHARES^ ------------------------------------------------------- 9/1/01 YEAR ENDED AUGUST 31, THROUGH ---------------------------------------------- 2/28/02 2001 2000 1999 1998 1997 ------- ------- ------- ------- ------- ------- Per share operating performance: Net asset value, beginning of period $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 ------- ------- ------- ------- ------- ------- Income from investment operations: Net investment income 0.01 0.03 0.03 0.03 0.03 0.03 Less dividends from net investment income 0.01 0.03 0.03 0.03 0.03 0.03 ------- ------- ------- ------- ------- ------- Net asset value, end of period $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 ======= ======= ======= ======= ======= ======= Total return 0.70% 3.13% 3.37% 2.73% 3.10% 3.12% Ratios/supplemental data: Net assets, end of period (millions) $ 857 $ 907 $ 895 $ 754 $ 733 $ 566 Ratios to average net assets: # Expenses 0.59% 0.59% 0.59% 0.59% 0.59% 0.59% Net investment income 1.39% 3.09% 3.33% 2.68% 3.05% 3.08% Expenses without waivers, reimbursements and earnings credits 0.69% 0.72% 0.75% 0.73% 0.72% 0.73% Net investment income without waivers, reimbursements and earnings credits 1.29% 2.96% 3.17% 2.54% 2.92% 2.94% TAX FREE MONEY MARKET FUND ------------------------------------------------------- PREMIER SHARES ------------------------------------------------------- 9/1/01 YEAR ENDED AUGUST 31, THROUGH --------------------------------------------- 2/28/02 2001 2000 1999 1998 1997 -------- ------- ------- -------- ------- ------ Per share operating performance: Net asset value, beginning of period $ 1.00 $1.00 $1.00 $1.00 $1.00 $1.00 -------- ------- ------- -------- ------- ------ Income from investment operations: Net investment income 0.01 0.03 0.03 0.03 0.03 0.03 Less dividends from net investment income 0.01 0.03 0.03 0.03 0.03 0.03 -------- ------- ------- -------- ------- ------ Net asset value, end of period $ 1.00 $1.00 $1.00 $1.00 $1.00 $1.00 ======== ======= ======= ======== ======= ====== Total return 0.77% 3.21% 3.41% 2.78% 3.17% 3.19% Ratios/supplemental data: Net assets, end of period (millions) $2,900 $ 116 $ 120 $ 130 $ 133 $ 105 Ratios to average net assets: # Expenses 0.45% 0.51% 0.55% 0.54% 0.53% 0.53% Net investment income 1.48% 3.17% 3.40% 2.74% 3.10% 3.13% Expenses without waivers, reimbursements and earnings credits 0.49% 0.53% 0.59% 0.56% 0.53% 0.53% Net investment income without waivers, reimbursements and earnings credits 1.44% 3.15% 3.26% 2.72% 3.10% 3.13%
^ Formerly Vista Shares. # Short periods have been annualized. See notes to financial statements. 130
TAX FREE MONEY MARKET FUND ---------------------------------------------------------------------------------- AGENCY SHARES@ INSTITUTIONAL SHARES ------------------------------------------------------------ -------------------- 9/1/01 YEAR ENDED AUGUST 31, 9/10/01* THROUGH ------------------------------------------------- THROUGH 2/28/02 2001 2000 1999 1998 1997 2/28/02 ------- --------- ------- ------- ------- ------- -------- Per share operating performance: Net asset value, beginning of period $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 $ 1.00 ------- --------- ------- ------- ------- ------- -------- Income from investment operations: Net investment income 0.01 0.03 0.04 0.03 0.03 0.04 0.01 Less dividends from net investment income 0.01 0.03 0.04 0.03 0.03 0.04 0.01 ------- --------- ------- ------- ------- ------- -------- Net asset value, end of period $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 $ 1.00 ======= ========= ======= ======= ======= ======= Total return 0.86% 3.47% 3.71% 3.07% 3.45% 3.45% 0.83% Ratios/supplemental data: Net assets, end of period (millions) $ 907 $ 921 $ 640 $ 476 $ 410 $ 286 $2,678 Ratio to average net assets: # Expenses 0.26% 0.26% 0.26% 0.26% 0.26% 0.26% 0.20% Net investment income 1.69% 3.42% 3.67% 3.01% 3.37% 3.41% 1.70% Expenses without waivers, reimbursements and earnings credits 0.33% 0.36% 0.39% 0.35% 0.26% 0.26% 0.33% Net investment income without waivers, reimbursements and earnings credits 1.62% 3.32% 3.54% 2.92% 3.37% 3.41% 1.57%
@ Formerly Institutional Shares. * Commencement of offering of class of shares. # Short periods have been annualized. See notes to financial statements. 131
NEW YORK TAX FREE MONEY MARKET FUND --------------------------------------------------------- MORGAN SHARES^ --------------------------------------------------------- 9/1/01 YEAR ENDED AUGUST 31, THROUGH ----------------------------------------------- 2/28/02 2001 2000 1999 1998 1997 ------- -------- ------- ------ ------ ------- Per share operating performance: Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $1.00 ------- -------- ------- ------ ------ ------- Income from investment operations: Net investment income 0.01 0.03 0.03 0.03 0.03 0.03 Less dividends from net investment income 0.01 0.03 0.03 0.03 0.03 0.03 ------- -------- ------- ------ ------ ------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $1.00 ======= ======== ======= ====== ====== ======= Total return 0.66% 2.98% 3.27% 2.66% 3.03% 3.02% Ratios/supplemental data: Net assets, end of period (millions) $2,371 $2,439 $1,831 $1,505 $1,372 $ 957 Ratio to average net assets: # Expenses 0.59% 0.59% 0.59% 0.59% 0.59% 0.59% Net investment income 1.33% 2.88% 3.24% 2.61% 2.97% 2.97% Expenses without waivers, reimbursements and earnings credits 0.70% 0.71% 0.70% 0.71% 0.72% 0.73% Net investment income without waivers, reimbursements and earnings credits 1.22% 2.76% 3.13% 2.49% 2.84% 2.83% NEW YORK TAX FREE MONEY MARKET FUND ----------------------------------- RESERVE SHARES ----------------------------------- 9/1/01 YEAR 7/31/00* THROUGH ENDED THROUGH 2/28/02 08/31/01 08/31/00 ------- --------- --------- Per share operating performance: Net asset value, beginning of period $1.00 $ 1.00 $1.00 ------- --------- --------- Income from investment operations: Net investment income 0.01 0.03 - Less dividends from net investment income 0.01 0.03 - ------- --------- --------- Net asset value, end of period $1.00 $ 1.00 $1.00 ======= ========= ========= Total return 0.56% 2.77% 0.28% Ratios/supplemental data: Net assets, end of period (millions) $ 6 $ + $ + Ratio to average net assets: # Expenses 0.79% 0.90% 0.79% Net investment income 0.93% 2.57% 3.04% Expenses without waivers, reimbursements and earnings credits 1.47% 1560.21%^^ 1.49% Net investment income without waivers, reimbursements and earnings credits 0.25% (1556.74)%^^ 2.34%
* Commencement of offering of class of shares. + Amount rounds to less than one million. ^ Formerly Vista Shares. # Short periods have been annualized. ^^ Due to the size of net assets and fund expenses, ratios may seem disproportionate with other classes. See notes to financial statements. 132
CALIFORNIA TAX FREE MONEY MARKET FUND ------------------------------------------------------- MORGAN SHARES^ ------------------------------------------------------- 9/1/01 YEAR ENDED AUGUST 31, THROUGH ---------------------------------------------- 2/28/02 2001 2000 1999 1998 1997 ------- ------- ------- ------- ------- ------ Per share operating performance: Net asset value, beginning of period $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 ------- ------- ------- ------- ------- ------ Income from investment operations: Net investment income 0.01 0.03 0.03 0.03 0.03 0.03 Less dividends from net investment income 0.01 0.03 0.03 0.03 0.03 0.03 ------- ------- ------- ------- ------- ------ Net asset value, end of period $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 ======= ======= ======= ======= ======= ====== Total return 0.61% 2.70% 3.00% 2.66% 2.97% 3.02% Ratios/supplemental data: Net assets, end of period (millions) $ 157 $ 83 $ 78 $ 68 $ 50 $ 46 Ratio of average net assets: # Expenses 0.55% 0.55% 0.55% 0.55% 0.55% 0.56% Net investment income 1.15% 2.68% 3.03% 2.55% 2.89% 2.99% Expenses without waivers, reimbursements and earnings credits 0.82% 0.83% 0.90% 0.94% 0.93% 0.86% Net investment income without waivers, reimbursements and earnings credits 0.88% 2.40% 2.68% 2.16% 2.51% 2.69%
^ Formerly Vista Shares. # Short periods have been annualized. See notes to financial statements. 133 JPMorgan Funds U.S. EQUITY FUNDS SPECIALTY FUNDS Balanced Fund Focus Fund Capital Growth Fund Global 50 Fund Core Equity Fund Global Healthcare Fund Disciplined Equity Fund H&Q Technology Fund Disciplined Equity Value Fund Market Neutral Fund Diversified Fund Dynamic Small Cap Fund FIXED INCOME FUNDS Equity Growth Fund Bond Fund Equity Income Fund Bond Fund II Growth and Income Fund Fleming Emerging Markets Debt Fund Mid Cap Growth Fund Global Strategic Income Fund Mid Cap Value Fund Intermediate Bond Fund Small Cap Equity Fund Short Term Bond Fund Small Cap Growth Fund Short-Term Bond Fund II SmartIndex(TM) Fund Strategic Income Fund U.S. Equity Fund U.S. Treasury Income Fund U.S. Small Company Fund U.S. Small Company Opportunities Fund TAXFREE FUNDS Value Opportunities Fund California Bond Fund Intermediate Tax Free Income Fund SELECT FUNDS New Jersey Tax Free Income Fund Select Balanced Fund New York Intermediate Tax Free Select Equity Income Fund Income Fund Select International Equity Fund Tax Free Income Fund Select Large Cap Equity Fund Select Large Cap Growth Fund MONEY MARKET FUNDS Select Mid Cap Equity Fund 100% U.S. Treasury Securities Select Small Cap Equity Fund Money Market Fund California Tax Free Money Market Fund TAX AWARE FUNDS Federal Money Market Fund Fleming Tax Aware International New York Tax Free Money Market Fund Opportunities Fund Prime Money Market Fund Tax Aware Disciplined Equity Fund Tax Free Money Market Fund Tax Aware Enhanced Income Fund Treasury Plus Money Market Fund Tax Aware Small Company U.S. Government Money Market Fund Opportunities Fund Tax Aware U.S. Equity Fund INTERNATIONAL EQUITY FUNDS Fleming Emerging Markets Equity Fund Fleming European Fund Fleming International Value Fund Fleming International Opportunities Fund Fleming Japan Fund SEMI-ANNUAL REPORT (UNAUDITED) JPMorgan Funds are distributed by J.P. Morgan Fund Distributors, Inc., which is unaffiliated with The Chase Manhattan Bank. Chase and its respective affiliates receive compensation from JPMorgan Funds for providing services to the Funds. This report is submitted for the general information of the shareholders of the funds. It is not authorized for distribution to prospective investors in the funds unless preceded or accompanied by a prospectus. The financial information in this report has been taken from the books and records of the funds without examination by independent accountants, who express no opinion thereto. To obtain a prospectus for any of the JPMorgan Funds, call 1-800-348-4782. The prospectus contains more complete information, including charges and expenses. Please read it carefully before you invest or send money. JPMorgan Funds Fulfillment Center 393 Manley Street West Bridgewater, MA 02379-1039 (C)J.P. Morgan Chase & Co., 2002 All Rights Reserved. April 2002 SAN-MMKT-402 -----END PRIVACY-ENHANCED MESSAGE-----